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Cbonds Page: Risk Management Institute

company Risk Management Institute
full company name NUS RMI Credit Research Initiative
country of risk Singapore
address 21 Heng Mui Keng Terrace I3 Building, Level 4 Singapore 119613
phone (65) 6516 3380
fax (65) 6874 5430
e-mail rmicri@nus.edu.sg
web http://www.rmi.nus.edu.sg/

Profile

The Credit Research Initiative (CRI) is a non-profit undertaking by the Risk Management Institute at NUS, and seeks to promote research and development in the critical area of credit risk. The foundation of the CRI is the probability of default (PD) model which has been developed using a database of over 60,000 listed firms in Asia-Pacific, North America, Europe, Latin America, the Middle East and Africa. The outputs of RMI's PD model are avilable on http://www.rmicri.org/, including daily updated PDs for individual firms in the aforementioned regions and aggregate PDs for different economies and sectors. The RMI family of Corporate Vulnerability Indices (RMI CVI) are derived from firm-specific RMI PDs.

This non-profit initiative was conceptualized by Professor Jin-Chuan Duan in March 2009. It takes a "public good" approach to credit rating with the goal of keeping the PD model current, evolutionary and organic, and functions like a "selective Wikipedia." RMI announced the CRI in July 2009 and started releasing results from its PD model in July 2010 at its fourth Annual Risk Management Conference.

Сontacts

Dexter
Tan
Research Analyst
+65 6516 3380

News and documents

Risk Management Institute

Daily indices

Type: 11/15/2018 11/14/2018 11/13/2018 11/12/2018 11/09/2018 11/08/2018 11/07/2018
RMI CVI - Middle East
Israel CVI value weighted  7.47 7.31 7.19 7.18 7.48 7.46 7.61
Israel CVI tail  91.49 80.56 76.95 79.85 82.73 82.49 86.82
Israel CVI equally weighted  24.46 23.98 23.70 23.56 24.63 24.50 24.88
RMI CVI - North America
US CVI value weighted  6.92 6.93 6.80 6.79 6.30 6.06 6.00
US CVI tail  247.43 250.67 242.46 243.64 245.77 228.53 236.76
US CVI equally weighted  66.59 66.16 64.71 64.11 61.85 58.39 58.04
Canada CVI value weighted  5.00 4.89 4.85 4.70 4.72 4.66 4.41
Canada CVI tail  399.40 418.15 419.63 408.36 441.05 460.40 447.83
Canada CVI equally weighted  98.35 98.12 98.95 93.60 99.23 98.33 95.02
RMI CVI - Europe
Eurozone CVI value weighted  6.89 6.81 6.76 6.96 6.75 6.69 6.56
Eurozone CVI tail  152.53 145.80 142.06 146.15 144.52 143.81 142.06
Eurozone CVI equally weighted  37.12 36.15 35.52 35.88 35.36 35.58 35.19
Germany CVI value weighted  8.02 7.97 8.01 8.35 7.79 7.80 7.49
Germany CVI tail  141.42 134.59 130.90 125.16 133.52 129.69 123.43
Germany CVI equally weighted  38.76 36.96 36.65 36.37 35.85 36.66 36.02
France CVI value weighted  5.74 5.62 5.57 5.76 5.89 5.80 5.75
France CVI tail  107.77 112.46 106.69 113.93 116.39 104.86 109.24
France CVI equally weighted  28.23 28.81 27.94 28.45 28.91 28.83 28.61
UK CVI value weighted  19.65 19.01 18.94 19.24 17.82 17.43 15.28
UK CVI tail  204.56 201.33 196.40 202.91 192.88 191.87 205.52
UK CVI equally weighted  62.04 60.43 59.37 59.35 56.33 55.47 55.72
Denmark CVI value weighted  7.32 6.98 6.89 6.68 6.42 6.49 6.67
Denmark CVI tail  135.89 128.14 128.86 123.75 126.90 131.53 155.80
Denmark CVI equally weighted  35.59 34.49 34.14 32.51 33.16 32.20 33.34
Norway CVI value weighted  9.80 9.69 9.62 9.14 8.72 8.39 8.29
Norway CVI tail  195.65 182.33 183.47 169.54 184.64 175.40 175.76
Norway CVI equally weighted  91.99 90.31 88.78 84.90 86.03 86.43 86.30
Sweden CVI value weighted  6.36 6.20 6.07 6.09 5.80 5.66 5.66
Sweden CVI tail  180.49 163.19 166.89 170.22 174.31 190.23 179.05
Sweden CVI equally weighted  47.02 45.96 45.37 45.07 46.99 46.77 46.02
Turkey CVI value weighted  90.74 94.17 96.14 96.03 103.12 101.10 96.95
Turkey CVI tail  243.47 272.38 258.54 256.40 278.43 272.11 266.45
Turkey CVI equally weighted  75.76 79.34 80.27 78.83 85.09 84.67 81.41
Switzerland CVI value weighted  7.13 7.01 6.84 6.79 6.46 6.22 6.19
Switzerland CVI tail  116.91 124.33 118.54 116.26 114.36 116.03 112.14
Switzerland CVI equally weighted  37.07 37.10 35.16 34.51 35.61 33.58 32.32
Greece CVI value weighted  33.89 33.15 31.89 33.50 32.63 32.75 32.20
Greece CVI tail  377.58 375.27 361.61 380.45 385.56 398.21 397.33
Greece CVI equally weighted  111.65 109.92 106.85 111.06 112.53 114.19 111.32
Finland CVI value weighted  4.19 4.11 4.05 4.04 4.35 4.25 4.25
Finland CVI tail  94.90 85.95 98.16 95.53 103.26 84.49 88.23
Finland CVI equally weighted  21.14 20.84 20.20 20.06 20.85 20.83 20.77
RMI CVI - Asia
Malaysia CVI value weighted  12.90 13.05 13.08 12.96 12.31 12.08 12.07
Malaysia CVI tail  204.80 205.30 205.38 205.13 208.87 201.22 201.73
Malaysia CVI equally weighted  62.41 62.46 61.90 62.14 60.93 60.93 61.09
Philippines CVI value weighted  16.75 17.05 17.15 16.72 16.29 16.01 15.88
Philippines CVI tail  120.64 123.48 123.46 123.97 124.69 123.81 125.25
Philippines CVI equally weighted  27.93 28.25 28.39 27.63 27.56 27.77 26.99
Thailand CVI value weighted  6.48 6.27 6.21 6.20 5.98 5.86 5.84
Thailand CVI tail  94.31 85.07 86.14 90.54 82.86 82.70 83.85
Thailand CVI equally weighted  22.30 21.71 22.14 21.18 21.13 20.81 20.83
Vietnam CVI value weighted  25.33 24.43 24.80 23.56 22.31 21.59 21.87
Vietnam CVI tail  221.64 215.67 223.76 221.52 215.63 213.24 213.95
Vietnam CVI equally weighted  70.26 68.78 69.29 67.66 67.69 67.90 68.53
Indonesia CVI value weighted  33.29 34.63 34.90 35.57 33.33 32.18 32.70
Indonesia CVI tail  221.84 232.05 228.47 229.73 226.21 215.02 225.84
Indonesia CVI equally weighted  56.10 57.37 56.75 56.92 57.02 56.14 56.99
China CVI value weighted  30.08 30.74 30.57 31.00 31.83 31.05 30.90
China CVI tail  205.77 207.73 206.72 211.18 225.46 222.25 223.41
China CVI equally weighted  65.67 66.52 66.32 67.74 70.64 70.18 70.24
Japan CVI value weighted  3.07 3.04 3.07 2.92 2.46 2.43 2.53
Japan CVI tail  20.97 20.80 20.23 19.58 17.93 17.71 18.07
Japan CVI equally weighted  5.18 5.12 5.02 4.82 4.23 4.18 4.26
Singapore CVI value weighted  9.11 9.15 8.98 8.89 8.59 8.37 8.38
Singapore CVI tail  209.74 172.54 164.21 179.54 154.54 177.54 178.38
Singapore CVI equally weighted  48.02 46.68 45.08 46.65 45.26 46.47 45.58
Australia CVI value weighted  4.34 4.40 4.23 4.08 4.65 4.62 4.59
Australia CVI tail  133.15 137.33 140.91 136.05 130.55 128.47 123.38
Australia CVI equally weighted  31.41 31.82 31.73 31.15 31.35 30.03 29.17
Taiwan CVI value weighted  2.80 2.68 2.68 2.64 2.31 2.26 2.24
Taiwan CVI tail  19.09 19.17 19.03 19.18 18.41 18.19 18.40
Taiwan CVI equally weighted  4.69 4.69 4.70 4.65 4.36 4.31 4.29
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  4.57 4.54 4.42 4.43 4.11 3.95 3.90
S&P 500 CVI tail  35.25 35.89 36.59 36.41 37.16 35.58 34.97
S&P 500 CVI equally weighted  8.39 8.05 7.81 7.47 7.51 7.27 7.08
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