CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method.

This application is useful for risk managers.

CreditCruncher 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 by enabling the MPI instructions.

The user must create a xml file with the description of the portfolio. CreditCruncher 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 the risk indicators (VaR, TCE, etc.)