## 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 …

## Diagram Layout with Diagram Master

This video demonstrates how to achieve diagram layout using the layout tools in Diagram Master.  Diagram Master is an Excel add-in for creating node based diagrams.  For more information, visit the Diagram Master product page. Topics Covered This video includes how to auto arrange the diagram.  Auto arrange can automatically arrange the diagram in one …

## Formatting Diagrams in Diagram Master

This video demonstrates formatting diagrams in Diagram Master. Diagram Master is an Excel add-in for creating node based diagrams. For more information, visit the Diagram Master product page. Topics Covered Formatting all nodes at the same time. Formatting subsets of nodes. Formatting all connectors at the same time. Formatting subsets of connectors. Selecting/Deselecting individual nodes …

## 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 …

## Creating a Structured Diagram with Diagram Master

This video provides and overview of a structured diagram using Diagram Master. Diagram Master is an Excel add-in for creating node based diagrams. For more information visit the Diagram Master product page. Topics Covered Create a diagram worksheet. Add nodes. Edit nodes. Change diagram settings. Introduction This video demonstrates how to create a structured diagram …

## Diagram Master Overview

This video is an overview of the features of Diagram Master. Diagram Master is an Excel add-in for creating a node based Excel diagram. For more information, visit the Diagram Master product page. Topics Covered The structured diagram group on the ribbon is explained for the creation of structured node diagrams such as tree diagrams, …

## Creating a Mind Map with Diagram Master

This video demonstrates how to create a mind map in Excel using Diagram Master. Diagram Master is an Excel add-in for creating node based diagrams. For more information, visit the Diagram Master product page. Introduction This video demonstrates how to create a mind map using Diagram Master. Create a Diagram Worksheet First we start by …