Hanweck's Issuer Volatility Risk (IVR) Indicator models the market implied default process of single name equities, applying a CEV-based approach calibrated with real-time option analytic and equity data. IVR converges information across the entire structure of a single name option volatility surface into real-time and end-of-day data series. This creates an inherently integrated indicator, sensitive to implied volatility levels, skew, and stock price.
Market participants are already familiar with broader and relatively shorter dated index volatility products that serve as fear or risk indicators. IVR generates comparable insights into single names with model focus on probability of default.