RT Journal Article
SR Electronic
T1 Deterministic Simulation for Risk Management
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 122
OP 127
DO 10.3905/jpm.1999.319698
VO 25
IS 5
A1 Anargyros Papageorgiou
A1 Spassimir H Paskov
YR 1999
UL https://pm-research.com/content/25/5/122.abstract
AB Monte Carlo simulation is widely used in pricing and risk management of complex financial instruments. Deterministic simulation methods (quasi-Monte Carlo methods) are superior to Monte Carlo in terms of accuracy and speed. The authors show how deterministic simulation can be applied to calculate value at risk. They use in their tests a portfolio of collaterized mortgage obligation tranches. One of the deterministic methods consistently outperforms Monte Carlo simulation.