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Cbonds presents new indices from Risk Management Institute

March 20, 2013
Cbonds would like to present a new group of indices from Risk Management Institute. 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. 

The CVIs are a set of indicators that gauge economic and financial environments in a new dimension. They are best viewed as stress indicators that reflect heightened credit risks in the corporate sector from three different angles. 

Given that the CVI are stress indicators, a possibility is the development of derivative instruments (futures, swaps, options) based on CVIs that can be used for crisis hedging. 

The official start date for the CVIs is the first trading day of July 2012. The CVI is reported in basis points up to two decimal places. Back-calculated historical series using daily data are provided for comparison purposes. All CVI series go back to the first trading day of 1996. 

The suite of CVIs is available in three distinctive types: 
- Value-weighted CVI (CVIvw) - 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 (CVItail) - In taking the 5th percentile of the highest RMI PD, the most vulnerable firms in a group are measured. 

A group of companies can consist of countries, regions or portfolios: 
North America: Canada (CAN), United States of America (USA) 
Europe Eurozone: (EMU), France (FRA), Germany (DEU), United Kingdom (GBR) 
Asia: China (CHN), Japan (JPN), Singapore (SGP) 
Special Portfolios: S&P500 Index (SPP) 

You can find RMI’s indicators in a section «Market Participants' Indices»  

Complete indices description
Index Name — US CVI value weighted
  • Full name
    NUS Credit Research Initiative
  • Industry
    Financial institutions