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Index group::RMI CVI - Special Portfolios



Organization responsible for index calculation:RMI Credit Research Initiative

Index group description
Group of index covers S&P500 Index (SPP).
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.
Note:
Due to data issues at the level of our data provider, we were forced to exclude Newfield Exploration Co from the S&P500 CVI from Mar. 18, 2014 until Mar. 26, 2014. On Apr 10, 2014, the data has been rectified and we have revised the S&P500 CVI with the correct data for the days these companies were excluded.

Indices included in the group
S&P 500 CVI value weighted
S&P 500 CVI tail
S&P 500 CVI equally weighted

Complete index description in English (*.pdf)

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