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credit-risk

Here are 2 public repositories matching this topic...

torrentg / ccruncher

Portfolio credit risk modeling

statistics cpp gaussian monte-carlo-simulation copula mcmc-sampler correlation-matrices credit-risk copula-models

Updated Feb 3, 2025
C++

mmencke / MasterThesis

Source code for my Master Thesis in Credit Value Adjustment: Pricing Wrong Way Risk on Interest Rate Swaps

quantlib quantitative-finance credit-risk

Updated Feb 20, 2022
C++

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