Indexgruppe:RMI CVI - North America
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Organisation, die für die Indexberechnung verantwortlich ist:RMI Credit Research Initiative Indexgruppen-Beschreibung 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. Indizes in der Gruppe US CVI value weighted Canada CVI value weighted US CVI tail US CVI equally weighted Canada CVI tail Canada CVI equally weighted Detailierte Indexbeschreibung auf Englisch (*.pdf) |
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