Overview

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 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. For a description on using CCruncher, read the page Getting Started.

Audience

CCruncher is intended for financial institutions searching for a well-documented and efficient tool to calculate default risk on their SME loan portfolio. It is designed to be integrated into the credit risk management systems of financial institutions for risk assessment and stress testing.

License

This software is released under the GNU General Public License.
The current version is 1.8.

Keywords

Open Source, Credit Risk, Monte Carlo, Copula, Value at Risk, Expected Shortfall, Correlations, Survival Functions, Ratings, Transition Matrix.