UNIVCRD - Universal Credit Risk Add-in
UNIVCRD calculates a portfolio's exposure to counterparty risk. A major feature is the use of an analytical methodology which provides a considerable speed advantage over traditional Monte Carlo approaches and which supports default correlations. Instantaneous calculation of credit risk enables real-time monitoring by traders and risk managers.
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Click the thumbnails below for screenshots of our sample spreadsheets: |
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Portfolio Loss Cumulative Probability | Portfolio Loss Distribution |
Function : UCRA_CREDIT_RISK_ANALYSIS3( ) | |