Overview

CCruncher is a project for the simulation of massive portfolios of SME's 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 us to consider the majority of variables involved, such as the date and amount of each payment. The borrowers' default times are simulated using a copula with given survival rates and correlations.

Audience

CCruncher is addressed to financial institutions searching for a well-documented and efficient tool. It is designed to be integrated into the 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 1.5.

Keywords

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