Dissemination

Date September 2013
Title Quantifying Portfolio Credit Risk Using CCruncher.
Description CCruncher technical document (version 2.3 and above).
URL technical document 

Date 22 February 2013, Barcelona
Title Multi-Factor Model Applied to SMEs.
Description Presentation at Jornada CRM-Empresa sobre finanzas cuantitativas .
URL presentation 

Date 20 June 2011, Madrid
Title Simulation of High-Dimensional t-Student Copulas with a Given Block Correlation Matrix.
Description Technical paper presented at ASTIN Colloquium Madrid 2011 .
URLs paper , presentation , C code 
Notes
  1. Errata in corollary 2, page 5.
    Where says:
    \det(A) = \displaystyle\prod_{i=1}^{k} \lambda_i \cdot (n_i-1) \cdot (d_i-m_{ii})
    it should say:
    \det(A) = \displaystyle\prod_{i=1}^{k} \lambda_i \cdot (d_i-m_{ii})^{(n_i-1)}
  2. Errata in definition 4, page 13.
    Where says:
    ...\frac{\zeta_i^2}{2}...
    it should say:
    ...\frac{\zeta_i^2}{\nu}...
  3. Estimation of h(ν) can be improved using the Spearman's rank formula (theorem 2). Better yet, in algorithm 5, we can apply theorem 2, doing numerical integration, to transform the Pearson correlation into the Spearman's correlation.

Date July 2009
Title Simulating Large Portfolios of Credit: The CreditCruncher Project.
Description Popular article published in ERCIM News  number 78 with the special theme 'Mathematics for Finance and Economy'.
URL ERCIM News 78  (page 35)

Date 2005 - 2012
Title CCruncher - Technical Document.
Description CCruncher technical document (from version 0.1 to 1.9). Currently obsolete. Overridden by document 'Quantifying Portfolio Credit Risk Using CCruncher'.
URL document