CCruncher is a project for the simulation of large portfolios of SME loans where the unique risk is the default risk. The method used to determine the distribution of losses in the portfolio is the Monte Carlo algorithm, because it allows you to consider multiple variables, such as the date and amount of each payment. The obligors' default times are simulated using a copula with given survival rates and correlations.
|Tags||Office/Business Financial Scientific/Engineering Mathematics|
|Operating Systems||Mac OS X Windows Windows POSIX Linux|
Because the windows package is the most downloaded, has added a simple graphical interface to ccruncher in this package.
Release Notes: This release adds support for the Latin Hypercube Sampling method, increases overall program speed by a factor of 2-5, and solves a bug in the aggregation procedure.
Release Notes: This release improves simulation accuracy, makes some minor changes to the input file format, and adds a new graphic interface. This UI allows editing the input files, submitting Monte Carlo simulations, and conducting credit risk analysis.
Release Notes: This release adds support for the multi-factor model, rewrites the documentation from scratch, and makes some minor changes in the input file format.
Release Notes: This release adds support for macros (useful for sensitivity analysis), solves the precision problem in the survival functions, modifies the t-Student CDF speedup algorithm, and updates the technical document.
Release Notes: This release adds support for stochastic exposure, improves performance significantly, and solves minor bugs.