Monte-Carlo Simulation with Risk Kit
59 Pages Posted: 5 May 2011 Last revised: 20 Apr 2021
Date Written: April 20, 2021
Monte-Carlo simulations play an increasing role in finance, social sciences and risk management. Monte-Carlo simulations are a generic technique to estimate the distributions of arbitrary target quantities in complex environments.
However, to use Monte-Carlo methods in practice is often subject to severe difficulties such as the need to draw random variates, to program a model and to evaluate the simulation results. This requires the handling of advanced mathematical methods as well as of modern computer technology.
Risk Kit is a tool for the fast and easy development of risk analyses and Monte-Carlo simulations. It provides the components of quantitative risk management and allows linking them in a simple and intuitive way to complete models and risk analyses. Risk Kit enables many users for the first time to do quantitative risk analyses and Monte-Carlo simulations. It accelerates the development time many times over as compared to conventional approaches.
All Risk Kit functions can be integrated in spreadsheet analyses as Microsoft Excel cell-functions. Moreover, Risk Kit functions can be called from VBA or the .NET programming language. This way Risk Kit can be integrated in a production environment.
This document describes how to perform Monte-Carlo simulations and risk analyses with Risk Kit.
Risk Kit is free for students and researchers at academic institutions.
Keywords: Monte-Carlo simulation, rapid prototyping, risk management
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