Dear Colleagues:
I have made freely available  a code to accompany  the article:
Okunev, Pavel, "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=75850

You can request the code using the form below.
-Pavel

PS. Any updates to the code will be made available here.



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