Features

MODEL
Model type Copula approach
(t-Student copula),
CreditMetrics™
(Gaussian copula)
Risk measures Expected Loss (EL),
Value at Risk (VaR),
Expected Shortfall (ES),
Other (user defined)
Resolution method Monte Carlo
Simulated values obligors' default times,
EADs, LGDs
Supported copulas Gaussian,
t-Student
PDs defined over time transition matrix,
user defined
EAD defined over time yes
EAD supported distributions fixed, lognormal, exponential, uniform, gamma, normal
LGD defined over time yes
LGD supported distributions fixed, beta, uniform
Risk disaggregation yes
Variance reduction methods antithetic,
latin hypercube sampling
Multiple time horizons no
Multiple factors by obligor no
Multiple assets by obligor yes
Current net value support yes

TECHNICAL
Time unit 1 day
Default times simulation accuracy < 1 hour
Multi-thread support yes
Input data format XML
Output data format CSV
Operating systems Windows, Linux
Operating modes graphic, batch
Compression algorithms gzip
Input file parameterization macros, evaluation of numerical expressions

LIMITS
Maximum number of ratings 256
Maximum number of factors 256
Maximum number of segmentations 65535
Maximum number of segments in a segmentation 65535
Maximum number of obligors 4294967295
Maximum number of assets by obligor 65535
Maximum number of EADs/LGDs 4294967295