Monte Carlo is a method that uses repeated random sampling to model a range of possible outcomes and their probabilities, especially useful when there is significant uncertainty about the result.
The name Monte Carlo was inspired by the famous casinos of Monte Carlo, reflecting the role of chance in the method.
In risk assessment, Monte Carlo methods use repeated random sampling to model the impact of uncertainty, generating a probability distribution of potential losses or gains that can be used to quantify risk, including Value at Risk or expected shortfall.