Walkthrough
Walkthrough
Walkthrough
Welcome 1
The Basics 2
Running a Simulation 3
Building a Model 4
Deriving Statistics 5
Building a Table 6
Creating Charts 7
Review 8
Summary 9
QuickView 10
Correlation 11
Multivariate Distributions 12
Correlation Matrices 13
Configuration Options 14
Latin Hypercube Sampling 15
Saving Simulation Data 16
More Information 17
Page 2 RiskAMP: The Basics
Click the button "Run Simulation" on the tab. It's the Random variable function:
button with the big green arrow. That will open the
simulation dialog. 119.0092
When the simulation dialog is open, click "Start". You'll Statistics function (average):
see the progress of the simulation and when it's done,
you'll see that the average - in the cell to the right - #NAME?
now has a value.
At the end, we use statistics functions to see statistics Average Closing Balance
from the simulation.
Minimum Closing Balance
Maximum Closing Balance
Back Next Page
1,000,000
1,687,154
1,698,065
710,676
3,793,368
Page 5 RiskAMP: The Basics Opening Balance
When you run a simulation, you can look at all kinds of Year Return
statistics to understand the risk involved. With our
basic portfolio model, we'll look at the distribution of 1 19.04%
returns. 2 25.00%
3 7.64%
4 -5.89%
For example, we might want to know "what is the 5 4.57%
likelihood that the closing balance will be below the
opening balance (less than 1 million)?" 6 14.35%
7 -2.22%
8 10.22%
Or, "what is the probability the closing balance will be 9 -2.05%
greater than 2 million (double the starting balance)?"
10 -11.33%
Closing Balance
We can do this with the "SimulationInterval" function.
This function answers the question "what portion of
the simulation falls within some range?" Average Closing Balance
Gain (Loss) Closing Balance What is the probability that the closing balance
190,446 1,190,446 will be less than 1 million?
297,578 1,488,024
113,758 1,601,782 4.20%
(94,305) 1,507,477
68,930 1,576,407 What is the probability that the closing balance
226,144 1,802,551 will be greater than 2 million?
(40,097) 1,762,454
180,180 1,942,634 24.40%
(39,917) 1,902,717
(215,563) 1,687,154
1,687,154
1,698,065
710,676
3,793,368
Page 6 RiskAMP: The Basics Opening Balance
Closing Balance
Result 18%
0%
16%
0%
4% 14%
8%
12%
18%
16% 10%
18%
8%
11%
9% 6%
7%
4%
3%
3% 2%
1%
0%
1% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
00 00 00 00 00 00 00 00 00 00 00 00 00 00 00
0% 00, 00, 00, 00, 00, 00, 00, 00, 00, 00, 00, 00, 00, 00, 00,
6 8 0 2 4 6 8 0 2 4 6 8 0 2 4
1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 3, 3, 3,
Page 8 RiskAMP: The Basics (1) Start with some random values:
In most cases, a model will start with some random (2) Do some calculations:
values, do additional calculation, and generate one or
more results using Excel functions. You can use the
statistics functions to get insights into the model. … 0.34
You can also look at interim statistics through the Mean 0.32
model to get a sense of how variables interact.
Median 0.31
You can get access to every value generated during the 10th Percentile 0.22
simulation, to do additional analysis, with the
SimulationValue and SimulationValuesArray functions. 90th Percentile 0.43
See our website for more information.
140
120
100
80
60
40
20
0
0 6 1 2 1 8 24 3 0 36 4 2 4 8 54 60 6 6 72 78 8 4 90
0 . 0 . 0. 0. 0 . 0. 0 . 0 . 0. 0. 0 . 0. 0. 0 . 0.
Page 9 Summary
1.00
-0.15 1.00
ate Distribution
Sample
-0.58
-0.30
3.49
3.84
Page 13 Multivariate Distribution Correlation Matrix
A B
The correlation matrix must be symmetrical (or you can A 1.00
leave out the upper-triangular, as here).
B 0.60 1.00
C 0.60 0.60
The matrix must also be positive-definite. If not, you D -0.50 0.50
will get #VALUE errors when you try to create the
distribution.
Multivariate Distribution
The Correlation Matrix tool on the Monte Carlo tab can Mean Std.Dev
be used to check if a matrix is positive-definite, and if
nessary, make small changes. 0.00 1.00
1.00 1.00
2.00 1.00
Select the entire correlation matrix (cells J4:M7), then 3.00 1.00
click Correlation Matrix on the Monte Carlo tab. If you
accept the solution, you'll see the #VALUE errors go
away. You can use Undo (Ctrl+Z) to revert the changes.
1.00
-0.50 1.00
ate Distribution
Sample
#NAME?
#NAME?
#NAME?
#NAME?
Page 14 Configuration
90
80
70
60
50
40
30
20
10
0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
.0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0
-4 -3 -3 -2 -2 -1 -1 -0 0 0 1 1 2 2 3 3 4
Without LHS
120
100
80
60
40
20
0
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
.0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0 .5 .0
-4 -3 -3 -2 -2 -1 -1 -0 0 0 1 1 2 2 3 3 4
Page 16 Configuration
2
If you're new to Monte Carlo simulation, some of this
can be a little confusing. Be sure to check the example
files, and visit our website for more examples and more
information.
3
Check the installed example files. These are installed in the Start menu
(or Start Screen), under "Programs" -> "RiskAMP" -> "Examples".
Check our website. There are more examples and some articles and
documents on the library page, available at
http://www.riskamp.com/library
We're building a knowledge base on the website; it's searchable and may
have the answer to your question.
http://www.riskamp.com/kb
Welcome 1
The Basics 2
Running a Simulation 3
Building a Model 4
Deriving Statistics 5
Building a Table 6
Creating Charts 7
Review 8
Summary 9
QuickView 10
Correlation 11
Multivariate Distributions 12
Correlation Matrices 13
Configuration Options 14
Latin Hypercube Sampling 15
Saving Simulation Data 16
More Information 17