Quantile

The value below which a stated share of a distribution lies. The 99th percentile has 99% of outcomes beneath it.

Where you will meet it

Quantile comes up in 56 learning outcome notes across the FRM syllabus. A few of them:

• Insurance Companies and Pension Plans
  FRM Part I · Financial markets and products

  “Economic capital = loss quantile − expected loss.”

• Random Variables
  FRM Part I · Quantitative analysis

  “The quantile function q(p) is the inverse of the cumulative distribution function F.”

• Measures of Financial Risk
  FRM Part I · Valuation and risk models

  “Value at Risk is a quantile of the loss distribution: the loss that will not be exceeded over a stated holding period with a stated confidence.”

• Capital Structure in Banks
  FRM Part II · Credit risk measurement and management

  “The bank compares capital available with the requirement, which is calculated as EC = loss at the chosen quantile − EL.”

All terms beginning with Q · FRM glossary

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