Deterministic simulation for risk management

Monte Carlo simulation is widely used in pricing and risk management of com plex financial instruments. Deterministic simulation methods (quasi-Monte C arlo methods) are superior to Monte Carlo in terms of accuracy and speed. T he authors show how deterministic simulation can be applied to calculate va lue at risk. They use in their tests a portfolio of equity and currency Eur opean call options and a portfolio of collateralized mortgage obligation tr anches. One of the deterministic methods consistently outperforms Monte Car lo simulation.