33- https://doi.org/10.3905/jpm.1999.319698
Deterministic Simulation for Risk Management
- May 31, 1999
- The Journal of Portfolio Management
- Anargyros Papageorgiou +1 more
Abstract
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.
- # Deterministic Simulation Methods
- # quasi-Monte Carlo Methods
- # Deterministic Simulation
- # Deterministic Methods
- # Monte Carlo Simulation
- # Complex Financial Instruments
- # Mortgage Obligation
- # Financial Instruments
- # Simulation Methods
- # Risk Management
