About:
CreditCruncher is a program that uses the Monte Carlo method to compute the credit risk of large portfolios in which assets are mortgages, loans, bonds, endorsements, or the like (all of them of fixed income with a policy buy/sell and hold). The default time is simulated using a gaussian copula, taking into account the transition matrix (or survival function) and sectorial correlation matrix defined by the user.

Author:
Gerard Torrent [contact developer]

Rating:	reset 1 2 3 4 5 6 7 8 9 10
(not rated)

Homepage:
http://www.generacio.com/ccruncher/
Tar/GZ:
http://sourceforge.net/[..]es.php?group_id=128910&package_id=141273
CVS tree (cvsweb):
http://www.generacio.com/svn/repos/ccruncher/trunk/
Bug tracker:
http://sourceforge.net/tracker/?group_id=128910&atid=713208

Trove categories: [change]

[Development Status]		5 - Production/Stable
[Environment]		Console (Text Based)
[Intended Audience]		Advanced End Users
[License]		OSI Approved :: GNU General Public License (GPL), OSI Approved :: GNU General Public License v2
[Operating System]		MacOS X, Microsoft :: Windows, POSIX
[Programming Language]		C++
[Topic]		Office/Business :: Financial, Scientific/Engineering :: Mathematics

Dependencies: [change]
expat (required)
MersenneTwister 1.0 (required)
MiniCppUnit 2.5 (required)
Template Numerical Toolkit 1.2.6 (required)
zlib (required)
LAM/MPI 7.1.2 (optional)
Open MPI 1.0.2 (optional)
R (optional)
[download links]