FAQ

How is the Summary Risk Indicator (SRI) calculated?

Q: How is the Summary Risk Indicator (SRI) calculated?

The SRI combines: Market Risk Measure (MRM); based on Var-Equivalent-Volatility (VEV) using historical return data, and Credit Risk Measure (CRM); probability of issuer default. Both drive the actual SRI.

The SRI combines: Market Risk Measure (MRM); based on Var-Equivalent-Volatility (VEV) using historical return data, and Credit Risk Measure (CRM); probability of issuer default. Both drive the actual SRI.

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