This is the Linux app named CCruncher whose latest release can be downloaded as ccruncher-2.5.1_win.zip. It can be run online in the free hosting provider OnWorks for workstations.
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SCREENSHOTS
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CCruncher
DESCRIPTION
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.
Audience
Financial and Insurance Industry, Science/Research
User interface
X Window System (X11), Win32 (MS Windows), Command-line, Qt
Programming Language
C++
Categories
This is an application that can also be fetched from https://sourceforge.net/projects/ccruncher/. It has been hosted in OnWorks in order to be run online in an easiest way from one of our free Operative Systems.
