Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 40

Citicorp devised a Macro Risk Index, which uses a slew of measures to estimate risk aversion, including emerging market credit spreads, US credit spreads, US swap spreads, and implied volatility in FX, equity and swap spreads. The factors are equally weighted.

The index ranges from zero (no stress) to 1 (white hot risk aversion). Citicorp admits the level of correlation among many of these components is quite high, implying that sophisticated traders who detect mispricing could use it to jump on an opportunity. The index is relatively new (its inception was in 2009) and has yet to prove itself.