PT  - JOURNAL ARTICLE
AU  - Anargyros Papageorgiou
AU  - Spassimir H Paskov
TI  - Deterministic Simulation for Risk Management
AID  - 10.3905/jpm.1999.319698
DP  - 1999 Aug 31
TA  - The Journal of Portfolio Management
PG  - 122--127
VI  - 25
IP  - 5
4099  - https://pm-research.com/content/25/5/122.short
4100  - https://pm-research.com/content/25/5/122.full
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.