Region / Economy / Group Selection
CVI Analysis
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Period
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Data notes
- All values before 2022-04-29 (in grey area) are back-calculated using the most recent calibration results to this month (2022-04). All values after this date will be updated and supplemented to the series daily.
- We have modified 4 risk factors and calibration method in PD model since 2017-12-18. For more details please refer to Version 2017 Update 1 Addendum 5 and Version 2017 Update 1 Addendum 4.
- We have added two common covariates and modified calibration method in PD model since 2018-05-02. For more details please refer to Version 2017 Update 1 Addendum 9, Version 2017 Update 1 Addendum 10 and Version 2017 Update 1 Addendum 11.
About CVI
The Corporate Vulnerability Index (CVI) measures the creditworthiness of a selected region, economy or portfolio of interest.
It has three sets of indices to gauge the riskiness of a group from different perspectives.
Three indices
1
Equally-weighted CVI
The equally-weighted CVI is the average value of the individual PDs in a group. This aggregate measure focuses on the number of firms at risk in a group.
2
Value-weighted CVI
The value-weighted CVI sums up the individual PDs with their market capitalizations as weights. This measure takes into account the size of each firm.
3
Tail CVI
The tail CVI is the top 5th percentile of the individual PDs in a group. It can also be interpreted as the conditional median of the 10th percentile tail. It focuses on the riskiness of the most vulnerable firms in a group.
25 groups
Updated daily
Access
Bloomberg: CRII
CBonds
Besides the CRI website, CVI can also be accessed through Bloomberg (ticker: CRII) and CBonds.
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