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A calculator for the credit risk for large portfolios using Monte Carlo method.
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.
released on 7 March 2014
24 March 2006
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This entry (in part or in whole) was last reviewed on 25 February 2017.
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