CreditCruncher 1.1
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CreditCruncher 1.1 Ranking & Summary
File size:
1.4 MB
Platform:
Any Platform
License:
GPL (GNU General Public License)
Price:
Downloads:
805
Date added:
2007-08-10
Publisher:
Gerard Torrent
CreditCruncher 1.1 description
CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method.
CreditCruncher is a command line solver that read an xml input file and returns a plain text file with the simulated values of portfolio. The current version is 0.8. This software is released under the GNU General Public License.
CreditCruncher is designed to work in batch mode, without graphical support. Computation time can be reduced enabling the MPI instructions when compiling and deploying the application in a cluster.
The user create a xml file where the portfolio is described. CreditCruncher take this file and simulate N times the portfolio described in the input file. The simulated values are stored in a file with extension .out. Finally, a R script takes the simulated values and do some statistic over there to generate the risk indicators (VaR, TCE, etc.)
Enhancements:
- Documentation rewrited and translated to english
- Modified asset losses computation algorithm
- solved minor bugs
- added minor enhancements
- changed site look & feel
CreditCruncher is a command line solver that read an xml input file and returns a plain text file with the simulated values of portfolio. The current version is 0.8. This software is released under the GNU General Public License.
CreditCruncher is designed to work in batch mode, without graphical support. Computation time can be reduced enabling the MPI instructions when compiling and deploying the application in a cluster.
The user create a xml file where the portfolio is described. CreditCruncher take this file and simulate N times the portfolio described in the input file. The simulated values are stored in a file with extension .out. Finally, a R script takes the simulated values and do some statistic over there to generate the risk indicators (VaR, TCE, etc.)
Enhancements:
- Documentation rewrited and translated to english
- Modified asset losses computation algorithm
- solved minor bugs
- added minor enhancements
- changed site look & feel
CreditCruncher 1.1 Screenshot
CreditCruncher 1.1 Keywords
CreditCruncher
Monte Carlo
VAR
Value At Risk
CreditCruncher 1.1
Monte Carlo Method
credit portfolios
file
risk
portfolios
using
value
monte
CreditCruncher 1.1
Mathematics
Science and Engineering
Bookmark CreditCruncher 1.1
CreditCruncher 1.1 Copyright
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