The purpose of the project is summarising effort from a number of analytic libraries, adding interactive web-based user interface and making a free open source solution for risk analytics and stress testing.
Feb 8, 2012 Paul Glasserman's Importance Sampling and Tail Approximations as well as plain Monte Carlo have been implemented for for the widely used normal copula model of portfolio credit risk. The package includes source code, examples, spreadsheet with results and references to the papers.

Project Activity

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Categories

Algorithms, Internet, Business Intelligence, Stress Testing

License

GNU General Public License version 3.0 (GPLv3)

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Additional Project Details

Operating Systems

Windows

Intended Audience

Advanced End Users, Developers, Financial and Insurance Industry, Science/Research

User Interface

Web-based

Programming Language

ASP.NET, C#, C++, JavaScript

Database Environment

ADO.NET, ADOdb, Microsoft SQL Server, MySQL, SQL-based

Related Categories

C# Algorithms, C# Internet Software, C# Business Intelligence Software, C# Stress Testing Software, C++ Algorithms, C++ Internet Software, C++ Business Intelligence Software, C++ Stress Testing Software, JavaScript Algorithms, JavaScript Internet Software, JavaScript Business Intelligence Software, JavaScript Stress Testing Software, ASP.NET Algorithms, ASP.NET Internet Software, ASP.NET Business Intelligence Software, ASP.NET Stress Testing Software

Registered

2011-09-13
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