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FRM®一级风险管理基础备考公式（6）
文章来源：网络
发布时间：2022-01-04 10:47
阅读：459次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是定量分析备考公式（6），一起来看吧。
Probabilities
Unconditional probability (marginal probability) is the probability of an event occurring. Conditional probability, P(A | B), is the probability of an event A occurring given that event B has occurred. Bayes’ Rule Updates prior probability for an event in response to the arrival of new information.
Expected Value
Weighted average of the possible outcomes of a random variable, where the weights are the probabilities that the outcomes will occur.【点击免费下载>>>更多FRM学习相关资料】
Properties of Expected Values
If c is any constant, then:
If X and Y are any random variables, then:
Variance
Provides a measure of the extent of the dispersion in the values of the random variable around the mean. The square root of the variance is the standard deviation.
Covariance
Expected value of the product of the deviations of two random variables from their respective expected values.
Correlation
Measures the strength of the linear relationship between two random variables. It ranges from –1 to +1.
Uniform Distribution
Distribution where the probability of X occurring in a possible range is the length of the range relative to the total of all possible values. Letting a and b be the lower and upper limits of the uniform distribution, respectively, then for a ≤ x1 < x2 ≤ b:
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