The normal distribution is the most widely used type of distribution in the world of finance. A number of models, statistical tools, and pricing methods rely on it. The standard normal distribution is a particular type of normal distribution that has a mean of 0 and a standard deviation of 1.
The normal distribution is bell-shaped and absolutely symmetrical. The mean, median, and mode of the normal distribution coincide. And it is fully described by two parameters — mean and variance. For this reason, we can indicate the probability of observing a given value when using a normal distribution and express that as a distance from the mean.
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Standard Normal distribution is among the topics included in the Quantitative Methods module of the CFA Level 1 Curriculum.