# Simulation Master

## Monte Carlo Simulation of a Down Hole Dewar Flask

A Dewar flask is used in the oil & gas industry to protect electronics from high temperatures experienced down hole.  As temperatures increase, reliability of electronic components decrease and ultimately fail. We will analyze a Dewar flask design using Monte Carlo simulation of time down hole before an internal flask temperature of 435 Kelvin is …

## Integration Using Monte Carlo Simulation

Monte Carlo integration can be used to estimate definite integrals that cannot be easily solved by analytical methods.  There are several methods to apply Monte Carlo integration for finding integrals.  In this article we will cover the basic or ordinary method. Basic Monte Carlo Integration Let’s start with a generic single integral where we want …

## Determining Value at Risk Using Monte Carlo Simulation

Value at risk (VaR) is a commonly used risk measure in the finance industry.  Monte Carlo simulation is one of the methods that can be used to determine VaR. There are two things we need to specify when stating value at risk: The time horizon.  This may be daily for some portfolios or a longer …

## Expected Shortfall Using Monte Carlo Simulation

Expected shortfall is an extension of value at risk (VaR).  For a discussion on VaR, refer to the article where VaR is determined using Monte Carlo simulation.  Expected shortfall is also known as conditional VaR. Suppose we have determined VaR for our portfolio.  Let’s say we have a VaR for monthly returns at 95% confidence …

## Project Critical Path Analysis Using Simulation

Project critical path analysis can be performed using Monte Carlo simulation as a way to determine project completion time probabilities.  In this article, we will create a network diagram in Excel and a table to perform necessary logic operations. We will assume that each task follows the PERT distribution (also called Beta-PERT).  Using past experience, …

## Monte Carlo Tolerance Analysis

Monte Carlo simulation can be used for tolerance analysis (Monte Carlo tolerance analysis) to determine the rejection rate of assemblies.  In this application we will look at an example assembly where parts A and B must fit inside part C with a clearance fit.  For performance reasons we want to minimize the total clearance so …

## Input Variable Correlation in Monte Carlo Simulation

When conducting a Monte Carlo simulation, correlation among input variables is an important factor to consider.  If input random variables are treated as independent, when they are actually correlated, risk can be under or over estimated. Let’s think about how this occurs, when two input variables have positive correlation, the value for each should be …

## Analyzing Simulation Data with Simulation Master

This video demonstrates the simulation data analysis and reporting features of Simulation Master.  Simulation Master is an Excel add-in for Monte Carlo simulation.  For more information, please visit the Simulation Master product page. Topics Covered Probability analysis of an existing simulation data set. Create a summary report of an existing simulation data set. Create a …

## Basic Monte Carlo Simulation Using Simulation Master

This video demonstrates a basic Monte Carlo simulation using Simulation Master. Simulation Master is an Excel add-in for Monte Carlo simulation. For more information, please visit the Simulation Master product page. Basic Monte Carlo Simulation Topics Random variable function set-up in Excel model Using the Simulation Master “RV” worksheet functions to create random variables used …