ModelRisk

Spreadsheet risk modeling within Microsoft Excel

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ModelRisk: Monte Carlo simulation software that makes quantitative risk analysis intuitive.

ModelRisk is a Monte Carlo simulation Excel add-in that allows the user to include uncertainty in their spreadsheet models. ModelRisk has been the innovation leader in the marketplace since 2009, being the first to introduce many technical Monte Carlo method features that make risk models easier to build, easier to audit and test, and more precisely match the problems you face.

A ModelRisk user replaces uncertain values within their Excel model with special ModelRisk quantitative probability distribution functions that describe the uncertainty about those values. ModelRisk then uses Monte Carlo simulation to automatically generate thousands of possible scenarios.

At the end of the Monte Carlo simulation run, which typically takes a few seconds, the results are displayed in a variety of graphical and statistical formats that will tell you things like:

  • What is the probability we will come under budget?
  • Which investment gives me the greatest return for a given level of risk?
  • How much capital do we need to be 95% sure of having enough for the project?
  • Which component configuration give me the greatest chance of achieving a certain operation time before a failure occurs?
  • How much do we need to hold in reserve to be 90% sure of covering the risks in our business?
  • How likely are we to meet our sales forecast?
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Comparison between Basic and Complete Editions of ModelRisk

The Basic Edition of ModelRisk is FREE and offers the following:

  • Very fast Monte Carlo simulation in Excel
  • Unrestricted simulation samples
  • Automated multiple simulations
  • Includes the nine probability distributions, correlation and time series most commonly used in risk analysis
  • Allows fitting the available distributions, time series and correlation to data
  • Comprehensive reporting of results in interactive, customizable charts, including: histogram, Pareto, cumulative ascending and descending, trend, scatter, tornado, box, as well as comprehensive statistical reports
  • Exporting of results to PowerPoint, pdf, Word and Excel files
  • Share results as electronic interactive reports without sharing the model
  • Comprehensive help file with many example models
  • Easy to use with graphical interfaces, error messages, one-click function view and compatible with Excel audit tools
  • Fully compliant with Excel add-in standards
  • Converters for models built in @RISK or Crystal Ball
  • Models built in the Basic Edition can be run in the Complete Edition
  • All functions available in the Basic edition
    • VoseBernoulli
    • VoseBernoulliFit
    • VoseBinomial
    • VoseBinomialFit
    • VoseCopulaMultiNormal
    • VoseCopulaMultiNormalFit
    • VoseCurrentSample
    • VoseCurrentSim
    • VoseDescription
    • VoseExponential
    • VoseExponentialFit
    • VoseInput
    • VoseLognormal
    • VoseLognormalFit
    • VoseModPERT
    • VoseNormal
    • VoseNormalFit
    • VoseOutput
    • VosePERT
    • VosePoisson
    • VosePoissonFit
    • VoseSimMean
    • VoseSimTable
    • VoseTimeGBM
    • VoseTimeGBMFit
    • VoseTriangle
    • VoseValidCorrmat
    • VoseParameters

The Complete Edition of ModelRisk requires payment of a license fee. It offers all of the features of the Basic Edition, plus:

  • World’s most comprehensive risk analysis add-in for Excel with over 1200 functions
  • 136 different probability distributions
  • 34 time series models
  • 14 correlation models
  • Wealth of specialist modeling tools
  • Interoperability with other Vose Software products
Compare editionsView Complete features in detail

What problems can be solved by ModelRisk and Monte Carlo simulation within Microsoft Excel?

In the same way that Excel is used for many different types of analysis, ModelRisk is used to assess the uncertainty in the numbers produced by the Excel model. Users have performed risks analyses with ModelRisk in a vast range of fields, to give answers to a huge range of questions, so summarizing what it can be used for is a difficult task, but here are the most common applications we have seen:

  • Financial risk analysis – determining the amount to save in a pension fund to give a high level of assurance of a certain income
  • Investment risk analysis – determining the optimum portfolio for a given risk appetite (ModelRisk incorporates the World’s most powerful stochastic optimizer to help achieve this)
  • Engineering risk analysis – assess the reliability of a system (ModelRisk incorporates many special lifetime distributions)
  • Trading risk analysis – determine the risk:return profile of a set of financial instruments (ModelRisk incorporates a very wide range of return distributions, time series models and correlation structures for this)
  • Cost estimation risk analysis – determining the cost uncertainty of a project, perhaps with a profile over time
  • Discounted cashflow risk analysis – determining the expected return of an investment, or the probability of achieving a particular EBITDA or IRR
  • Epidemiology risk analysis – assessing the risk of introduction or spread of a disease, or the sufficiency of resources to handle an epidemic
  • Natural disaster risk analysis – determining the number of ambulances and aircraft needed to be available to evacuate hospitals faced with an imminent tornado.
     

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Key features

Probability distributions

ModelRisk incorporates virtually every probability distribution used in any field. Whilst you may well only need a few of them, depending on the particular application you need ModelRisk for, you are almost guaranteed to find the ones that are commonly used in your field of work.

Licensing

ModelRisk is offered in a variety of licensing options. It can be installed across a network with a limited number of seats, offering a cost-effective solution when you have many occasional users. It can be installed on a single computer too. ModelRisk licenses are also available for different durations, and a two-week demo license is available free-of-charge if you are unfamiliar with the product.

Advanced tools

ModelRisk offers a wide range of unique modelling tools designed to help simplify risk analysis model building. These risk management software tools can reduce a model to just a few cells, where a simple product would require perhaps thousands of cells to do the same calculation. This has the added benefit of making the models run thousands of times faster too! Examples are aggregate tools (determining the total of a random number of random variables), extreme value tools (what could be the largest value observed).

Model checking

Select a cell with a ModelRisk function, click the View Function icon, and ModelRisk will immediately open a visual display of precisely what that function is doing. Click on a help icon and the help file opens explaining the function in detail, navigating to one of over a 1000 subjects within the help file. Input an invalid value in a ModelRisk function and the function returns an explanation of the error. You can also use all of Excel’s auditing tools with ModelRisk functions.

Highlight feature: Risk management reporting

This Monte Carlo simulation software tool offers a unique method for displaying and sharing the results of your risk analysis spreadsheet models. Once a simulation run is complete, a separate application called the Results Viewer opens. This application shows lists the different random inputs and outputs of the model, and the different simulations that have been run (one typically runs multiple simulations to compare different possible options).

This application shows lists the different random inputs and outputs of the model, and the different simulations that have been run (one typically runs multiple simulations to compare different possible options).

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Tags: Monte Carlo simulation, Monte Carlo method, Monte Carlo analyses, Simulation software Excel,desicion making software

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