credit VaR


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.

Keywords: portfolio credit risk modeling, copula approach, ratings, Probability of Default (PD), transition matrix, Exposure At Default (EAD), Loss Given Default (LGD), industrial sectors, sectorial correlation, multi-factor model, Gaussian copula, t-Student copula, Monte Carlo, MCMC, Expected Loss (EL), Value at Risk (VaR), Expected Shortfall (ES), risk sensitivity, portfolio optimization, open-source.


Document: Creative Commons Attribution-ShareAlike 3.0 Unported License 
Software: GNU General Public License 


The current version is 2.4.1.