Exchange bias in a magnetoelectric Cr2O3/ferromagnet system at finite temperature, based on the formation of a domain wall in Cr2O3, has been investigated using Monte Carlo simulation. It has been shown that the calculation of the exchange bias based on domain wall formation yields a more realistic value than that calculated using interfacial exchange coupling between Cr2O3 and the adjacent ferromagnet. Possible shortcoming of the magnetoelectric effect in setting the switchable exchange bias in the low temperature regime has also been demonstrated based on an energy threshold requirement. Specifically, it has been found that the magnetoelectric effect becomes intrinsically less effective in switching the exchange bias at low temperature, thus making the applicability of the system limited to only a certain temperature range.