torrentg

Pop	212.13
Vit	21.82

CCruncher is a project for the simulation of large portfolios of SME loans where the unique risk is the default risk. The method used to determine the distribution of losses in the portfolio is the Monte Carlo algorithm, because it allows you to consider multiple variables, such as the date and amount of each payment. The obligors' default times are simulated using a copula with given survival rates and correlations.