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Index group::RMI CVI - North America



Organization responsible for index calculation:RMI Credit Research Initiative

Index group description
Group of index covers Canada (CAN) and United States of America (USA) This is a new suite of indices produced by RMI’s Credit Research Initiative. RMI Probabilities of Default (RMI PDs) of individual firms are used in the CVI to produce bottom-up measures of credit risk in economies, regions and portfolios of special interest. Value-weighted CVI (CVI vw)- RMI PDs are aggregated with each firm weighted by its market-capitalization so that the size of each firm is taken into account. Equally-weighted CVI (CVIew) - RMI PDs are aggregated with each firm equally weighted. This captures the prevalence of credit risk by focusing on the number of firms at risk. Tail CVI (CVI tail) - In taking the 5th percentile of the highest RMI PD, the most vulnerable firms in a group are measured.

Indices included in the group
US CVI value weighted
Canada CVI value weighted
US CVI tail
US CVI equally weighted
Canada CVI tail
Canada CVI equally weighted

Complete index description in English (*.pdf)

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200 000
issues: local and international bonds
170
countries
+7 812 336 97 21
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200 000
issues: local and international bonds
170
countries
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+7 812 336 97 21
pro@cbonds.info
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