Canada CVI tail

Name: Canada CVI tail
Creator: Cbonds
License: https://creativecommons.org/licenses/by/4.0/

daily

bps

UTC+3

Previous value

427.93 bps on 22/04/2024

from

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Quotes by Market Participants

Index description

This indice belongs to 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 economics of Canada. Tail CVI (CVI tail) - In taking the 5th percentile of the highest RMI PD, the most vulnerable firms in a group are measured.

Methodology

Index value can be retrieved via Cbonds add-in for Excel using the formula CbondsIndexValue(4905, date)

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Subgroup indices

Index	Current value	Date
Canada CVI equally weighted	94.5 bps	23/04/2024
Canada CVI tail	410.43 bps	23/04/2024
Canada CVI value weighted	6.51 bps	23/04/2024
US CVI equally weighted	131.91 bps	23/04/2024
US CVI tail	576.81 bps	23/04/2024
US CVI value weighted	4.58 bps	23/04/2024