On a CVA system with limited computational power.
For pricing, What is best, More timesteps and less number of simulations or less timesteps and more number of simulations?
for example with a whole portfolio of long term derivatives with several counterparties on a long term analysis: 200 timesteps (more granular at first) and 3,000 simulations vs 120 timesteps and 10,000 simulations?
What are your thoughts?
Thanks.