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Project Summary

CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method. Keywords: ratings, transition matrix, survival functions, correlations, copulas, VAR, Expected Shortfall

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copula credit finance modeling monte_carlo multi_factor risk value_at_risk

In a Nutshell, CCruncher...

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Languages

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XML
24%
C++
34%
CSS
22%
11 Other
20%

30 Day Summary

Jan 19 2018 — Feb 18 2018

12 Month Summary

Feb 18 2017 — Feb 18 2018
  • 50 Commits
    Down -20 (28%) from previous 12 months
  • 1 Contributors
    Down 0 (0%) from previous 12 months

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