Rapid Prototyping of Monte-Carlo Simulations

Abstract

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 rapid-prototyping 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.