ABSTRACT
Density is an important aspect in the distribution of time steps; however, this density must be dependent on time. The number of time steps must be greater in the short term, average in the medium term, and lower in the long term. In the long term, it is important to ensure that certain risk factors do not produce unwanted results during the later days of observation. To eliminate these unwanted results in the long term, the grid would need to be denser, but with a decreasing distribution of time steps over time. The impact of switching from grid 0 to grids with a higher number of dates is analyzed, taking into consideration two different ways of increasing density: the short term and long term. From the graphs of the risk measures of the portfolio and of the counterparties, one can deduce that the peaks, which provide a greater contribution towards identifying these measures, are all generated in the short term.
