Alternative grading methods, such as standards-based grading, provide students multiple opportunities to demonstrate their understanding of the learning outcomes in a course. These grading methods allow for more flexibility and help promote a growth mindset by embracing constructive failure for students. Implementation of these alternative grading methods requires developing specific, transparent, and assessable standards. Moving away from traditional methods also requires a mindset shift for how both students and instructors approach assessment. While providing multiple opportunities is important for learning in any course, these methods are particularly relevant to an upper level mathematical statistics course where topics covered often provide an additional challenge for students as they lie at the intersection of both theory and application. By providing multiple opportunities, students have the space for constructive failure as they tackle learning both a conceptual understanding of statistics and the supporting mathematical theory. In this article we share our experiences--including both challenges and benefits for students and instructors--in implementing standards-based grading in the first semester of a mathematical statistics course (i.e., focus primarily on probability). Supplementary materials for this article are available online.