Академический Документы
Профессиональный Документы
Культура Документы
Monte Carlo simulation, or probability simulation, is a technique used to understand the impact of risk and uncertainty in financial, project management, cost, and other forecasting models.
Monte Carlo simulation of capital budgeting projects is often viewed as a step beyond either sensitivity analysis or scenario analysis. Interactions between the variables are explicitly specified in Monte Carlo simulation; so, at least theoretically, this methodology provides a more complete analysis. While the pharmaceutical industry has pioneered applications of this methodology, its use in other industries is far from widespread.
How It Works
In a Monte Carlo simulation, a random value is selected for each of the tasks, based on the range of estimates. The model is calculated based on this random value. The result of the model is recorded, and the process is repeated. A typical Monte Carlo simulation calculates the model hundreds or thousands of times, each time using different randomly-selected values. When the simulation is complete, we have a large number of results from the model, each based on random input values. These results are used to describe the likelihood, or probability, of reaching various results in the model.
Process
Step 1: Specify the Basic Model Step 2: Specify a Distribution for Each Variable in the Model Step 3: The Computer Draws One Outcome Step 4: Repeat the Procedure Step 5: Calculate NPV
Example
Task Job 1 Job 2 Job 3 Total Time Estimate 5 Months 4 Months 5 Months 14 Months
Percent of Total (Rounded) 00% 06% 034% 079% 096% 0100% 0100%