Publication | BRG white paper

Implementing a Monte Carlo Simulation: Correlation, Skew, and Kurtosis

Stuart McCrary

September 2015

Stuart McCrary writes about Monte Carlo models involving multiple correlated variables, skewed distributions, kurtotic distributions, or combinations of correlation, skew, and kurtosis.

Monte Carlo models are used for a variety of reasons, but especially to develop the probability of outcomes that depend on the interaction of several factors. This documentation supports several applications of Monte Carlo. This paper will document how samples are created, including basic techniques to sample simple distributions; how multiple correlated series were created; and how samples are created that match certain deviations from the commonly used normal distribution.

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Stuart McCrary

Managing Director Emeritus