Open-Source Tool for
Credit Risk Modeling
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 default probability rates and correlations. More info at technical info.
CCruncher is intended for financial institutions searching for a standard and efficient tool to calculate credit risk on their portfolio of SMEs. It is designed to be integrated into the credit risk management systems of financial institutions for risk assessment and stress testing.
This software is released under the
GNU General Public License.
The current version is 2.2.
Open Source, Credit Risk, Monte Carlo, Copula, Multi-factor Model, Value at Risk, Expected Shortfall, Correlations, Ratings, Transition Matrix.