TY - JOUR T1 - Deterministic Simulation for Risk Management JF - The Journal of Portfolio Management SP - 122 LP - 127 DO - 10.3905/jpm.1999.319698 VL - 25 IS - 5 AU - Anargyros Papageorgiou AU - Spassimir H Paskov Y1 - 1999/08/31 UR - https://pm-research.com/content/25/5/122.abstract N2 - 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. ER -