S&P 500 CVI tail

Name: S&P 500 CVI tail
Creator: Cbonds
License: https://creativecommons.org/licenses/by/4.0/

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daily

bps

UTC+3

Previous value

on 02/09/2026

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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 companies included to S&P500 Index. Tail CVI (CVI tail) - In taking the 5th percentile of the highest RMI PD, the most vulnerable firms in a group are measured.

Methodology