FinAcademy › Risk Track I › Probability

Module R1 · QTA 1–2

Probability for risk

Events, conditional probability, Bayes, random variables and their moments.

4 lessons · 10 interactive figures · 24 exercises

Module progress
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  1. 1Events, conditional probability and independence
    A default is an event. A downgrade given a recession is a conditional event. Everything in credit risk starts here.    6 exercises
  2. 2Bayes rule: updating a probability with evidence
    A rating is evidence. A missed payment is evidence. Bayes tells you how much to move.    6 exercises
  3. 3Random variables: PMF, PDF, CDF, quantiles
    The loss distribution is a random variable. VaR is one of its quantiles. This lesson gives the vocabulary the rest of the track uses.    6 exercises
  4. 4Moments: mean, variance, skewness, kurtosis
    Four numbers describe most of what an exam question wants to know about a distribution. Two of them are about the tails.    6 exercises
Module test

20 questions drawn at random from the 24 exercises of this module, 48 minutes on the clock, marked instantly with the worked solution and a link back to the lesson for every miss.

Take the module testFinal mock exam