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Index group:RMI CVI - Europe

Organization responsible for index calculation:RMI Credit Research Initiative

Index group description
Group of index covers Eurozone (EMU), France (FRA), Germany (DEU), United Kingdom (GBR). 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.

Indices included in the group
Eurozone CVI value weighted
Germany CVI value weighted
France CVI value weighted
UK CVI value weighted
Denmark CVI value weighted
Norway CVI value weighted
Sweden CVI value weighted
Turkey CVI value weighted
Switzerland CVI value weighted
Greece CVI value weighted
Finland CVI value weighted
Eurozone CVI tail
Eurozone CVI equally weighted
Germany CVI tail
Germany CVI equally weighted
France CVI tail
France CVI equally weighted
UK CVI tail
UK CVI equally weighted
Denmark CVI tail
Denmark CVI equally weighted
Norway CVI tail
Norway CVI equally weighted
Sweden CVI tail
Sweden CVI equally weighted
Turkey CVI tail
Turkey CVI equally weighted
Switzerland CVI tail
Switzerland CVI equally weighted
Greece CVI tail
Greece CVI equally weighted
Finland CVI tail
Finland CVI equally weighted

Complete index description in English (*.pdf)

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