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.
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. 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. 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.
The CVI is right now available for 25 groups. It is updated on a daily basis. Besides the CRI website, it can also be accessed through Bloomberg (ticker: CRII) and CBonds.
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