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Welcome to CreditCruncher

CCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method. This application is useful for risk managers. The current version is 1.2. This software is released under the GNU General Public License.

Keywords: Credit risk, Monte Carlo, Copula, VAR, Expected Shortfall, Correlations, Survival Functions, Ratings, Transition Matrix.

Overview

CCruncher is designed to work in batch mode, without graphical support. If the application is compiled and deployed in a cluster, then, computation time can be reduced.


The user must create a xml file with the description of the portfolio. CCruncher takes this file and simulates N times the portfolio. The simulated values are stored in a file with extension .out. Finally, a R script takes the simulated values and do some statistics on them to generate graphics and the risk indicators (Expected Loss, Stddev, VaR and Expected Shortfall).