Difference between revisions of "Monte-Carlo Simulation"
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== Definition == | == Definition == | ||
| − | '''Monte-Carlo Simulation''' is a common method that is to study stochastic | + | '''Monte-Carlo Simulation''' is a common method that is to study quantifiable stochastic [[Uncertainty]]. |
Using Monte Carlo simulation, various probability distributions for uncertain parameters and/or events can be sampled. The probability distributions of the uncertain data must first be defined, including potential dependencies. A uniform distribution might be used when uncertainty is described by a range of values. | Using Monte Carlo simulation, various probability distributions for uncertain parameters and/or events can be sampled. The probability distributions of the uncertain data must first be defined, including potential dependencies. A uniform distribution might be used when uncertainty is described by a range of values. | ||
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After specifying the probability distribution a Monte Carlo simulation samples the values from these distributions. Additional calculations might be performed for each [[Scenario]] and/or on the full simulation results. | After specifying the probability distribution a Monte Carlo simulation samples the values from these distributions. Additional calculations might be performed for each [[Scenario]] and/or on the full simulation results. | ||
| − | [[Category: | + | == Examples == |
| + | * [[Monte Carlo Simulation of Credit Portfolios]] | ||
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| + | [[Category:Simulation]] | ||
Latest revision as of 13:53, 5 December 2023
Definition
Monte-Carlo Simulation is a common method that is to study quantifiable stochastic Uncertainty.
Using Monte Carlo simulation, various probability distributions for uncertain parameters and/or events can be sampled. The probability distributions of the uncertain data must first be defined, including potential dependencies. A uniform distribution might be used when uncertainty is described by a range of values.
After specifying the probability distribution a Monte Carlo simulation samples the values from these distributions. Additional calculations might be performed for each Scenario and/or on the full simulation results.
