About CCruncher
CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements...
CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR) and Expected Shortfall (ES) statistics. The portfolio losses are obtained simulating the default times of obligors and simulating the EADs and LGDs of their assets.
Previous Versions
Here you can find the changelog of CCruncher since it was posted on our website on 2015-04-25 03:00:00.
The latest version is 2.5.1 and it was updated on 2024-04-22 10:06:56. See below the changes in each version.
CCruncher version 2.5.1
Updated At: 2018-06-16
CCruncher version 1.7
Updated At: 2011-01-18
Changes: Several fixes and updates
Disclaimer
External Download
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