Global Financial Stress Index

The Global Financial Stress Index is a Bank of America Merrill Lynch calculated, cross market measure of risk, hedging demand and investor flows in the global financial system. Levels greater/less than 0 indicate more/less financial market stress than normal. Apart from the headline GFSI, there are three sub-indices, RISK, FLOW and SKEW.

GFSI Sub-indices RISK, FLOW and SKEW

The Risk index is a global measure of market, solvency and liquidity risk in the financial system. It comprises implied volatilities across asset classes, corporate and sovereign credit quality metrics and funding-related stress indicators. 

The Flow index is a measure of asset price momentum for equities, bonds and money markets, calculated using investor flows (data from EPFR) and volumes.

The Skew index is a measure of relative demand for protection against large swings in major global equities and currencies.

Levels greater/less than 0 indicate more/less stress than is normal.

GFSI vs Developed Markets

GFSI VS Emerging MARKETS

All photography by Jared Chambers