Rating Agency Models and Open Source
http://expectedloss.blogspot.com/2012/04/credit-rating-agency-models-and-open.html
I am looking for users and developers interested in collaborating on an open source sovereign rating model project. If you don’t agree with your country’s credit rating, here is a chance to do something about it!
A pre-release version of the tool is available at http://www.publicsectorcredit.org/pscf.html. Source will be posted to GitHub on 2 May 2012. The tool uses a Monte Carlo simulation but is not based on the MC tools in QuantLib. If anyone on the QuantLib team is interested in integrating our functionality with the library, I would be interested in discussing that.
Regards,
Marc Joffe
Public Sector Credit Solutions
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