News & Events

“Potential national debt default remains a front of mind issue in the Eurozone, as recent events have underlined yet again. The Capco CEPIX Index will provide practitioners, analysts and commentators with insightful information around the challenging questions that underlie national debt, as well as stimulating discussion about the current crisis.”

“At the technical level, CEPIX bridges market implied probabilities of individual country national debt default and those published by rating agencies. We modelled the indicator to avoid the occasional sharp changes created by discrete rating agency updates, while smoothing sometimes unnecessarily high volatility of market implied default risks stemming from risk premia.”

“CEPIX will start a discussion that leads to deeper insights into the European crisis and helps define a reliable threshold for determining the extreme yet still possible scenario of ‘Euro Breakup’”.