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.

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Сontacts

Dexter
Tan
Research Analyst
+65 6516 3380

Risk Management Institute

Daily indices

Type: 08/16/2017 08/15/2017 08/14/2017 08/11/2017 08/10/2017 08/09/2017 08/08/2017
RMI CVI - Middle East
Israel CVI value weighted  11.98 12.14 12.24 12.44 12.48 12.05 11.90
Israel CVI tail  97.81 97.32 96.82 97.18 97.16 100.36 98.70
Israel CVI equally weighted  28.88 28.18 27.73 27.22 27.31 27.79 27.94
RMI CVI - North America
US CVI value weighted  5.38 5.31 5.27 5.27 5.30 5.16 5.04
US CVI tail  253.87 256.27 238.40 242.96 243.77 238.20 227.41
US CVI equally weighted  66.61 65.96 63.89 64.95 64.77 61.90 59.76
Canada CVI value weighted  7.28 7.27 7.22 7.15 7.13 7.06 7.08
Canada CVI tail  371.91 407.76 407.78 393.03 379.93 373.04 398.27
Canada CVI equally weighted  78.95 80.20 75.83 71.80 73.38 71.76 76.29
RMI CVI - Europe
Eurozone CVI value weighted  5.98 6.03 6.05 6.14 6.05 5.82 5.66
Eurozone CVI tail  75.93 77.16 76.73 76.67 77.73 77.06 76.43
Eurozone CVI equally weighted  27.72 30.30 30.20 30.37 30.25 30.10 29.66
Germany CVI value weighted  4.66 4.68 4.69 4.81 4.82 4.67 4.54
Germany CVI tail  88.17 97.71 85.76 85.94 82.87 83.57 83.49
Germany CVI equally weighted  23.88 24.96 24.14 25.38 24.60 24.26 23.93
France CVI value weighted  5.19 5.27 5.30 5.40 5.26 4.82 4.67
France CVI tail  53.94 53.84 56.08 55.46 59.07 56.37 55.56
France CVI equally weighted  12.16 12.15 12.35 12.13 12.59 12.47 12.30
UK CVI value weighted  10.83 10.93 10.91 11.10 10.88 10.68 10.53
UK CVI tail  122.15 125.42 121.33 122.19 117.41 123.72 120.01
UK CVI equally weighted  33.53 33.29 32.99 32.91 32.92 33.16 32.85
Denmark CVI value weighted  8.17 8.26 8.18 8.34 8.32 9.30 8.45
Denmark CVI tail  98.55 99.58 99.03 100.46 90.33 92.00 90.57
Denmark CVI equally weighted  25.95 26.09 24.73 25.74 24.52 25.88 24.04
Norway CVI value weighted  15.39 15.62 15.43 15.59 15.29 15.23 14.73
Norway CVI tail  156.26 155.79 156.50 160.09 158.22 156.98 148.43
Norway CVI equally weighted  45.63 45.21 45.67 45.03 44.27 44.12 43.34
Sweden CVI value weighted  5.51 5.61 5.53 5.66 5.51 5.42 5.30
Sweden CVI tail  97.70 103.03 101.67 102.58 102.36 103.03 100.30
Sweden CVI equally weighted  26.94 29.18 29.28 29.15 29.00 28.89 29.19
Turkey CVI value weighted  21.86 22.03 20.83 22.12 21.16 20.92 20.41
Turkey CVI tail  77.56 78.32 76.48 76.65 75.37 76.20 76.09
Turkey CVI equally weighted  27.38 27.20 25.87 26.66 25.72 25.58 25.43
Switzerland CVI value weighted  3.29 3.31 3.30 3.36 3.29 3.31 3.18
Switzerland CVI tail  62.66 56.24 64.56 67.13 52.22 57.84 51.54
Switzerland CVI equally weighted  15.47 15.25 15.64 15.65 15.11 15.32 14.82
Greece CVI value weighted  20.81 21.22 21.32 21.03 20.95 21.01 20.69
Greece CVI tail  248.95 238.89 238.89 246.74 267.26 249.09 252.98
Greece CVI equally weighted  118.90 152.76 153.33 152.16 154.08 154.89 152.23
Finland CVI value weighted  3.60 3.69 3.68 3.77 3.69 3.63 3.53
Finland CVI tail  27.35 27.61 26.23 26.68 26.45 26.37 25.47
Finland CVI equally weighted  9.12 9.03 8.98 9.14 9.11 8.93 8.74
RMI CVI - Asia
Malaysia CVI value weighted  9.72 9.78 9.77 9.83 9.62 9.59 9.56
Malaysia CVI tail  199.36 199.41 197.82 198.95 200.73 195.79 194.93
Malaysia CVI equally weighted  47.97 48.24 48.44 48.01 47.40 46.78 46.58
Philippines CVI value weighted  8.50 8.57 8.48 8.54 8.52 8.46 8.39
Philippines CVI tail  68.88 65.46 69.22 70.06 70.84 69.81 70.62
Philippines CVI equally weighted  15.16 15.28 15.61 15.63 15.39 15.29 15.04
Thailand CVI value weighted  8.64 8.58 8.67 8.67 8.54 8.55 8.50
Thailand CVI tail  49.83 49.14 48.30 48.30 48.10 46.37 45.72
Thailand CVI equally weighted  15.49 15.53 16.46 16.46 16.06 14.91 14.78
Vietnam CVI value weighted  24.87 24.96 24.59 24.92 24.68 24.50 23.29
Vietnam CVI tail  152.48 157.16 155.39 157.01 153.89 157.74 148.65
Vietnam CVI equally weighted  45.43 46.02 45.61 45.98 44.75 44.29 43.43
Indonesia CVI value weighted  25.31 25.69 25.98 26.52 26.06 26.07 26.41
Indonesia CVI tail  133.13 137.43 140.99 148.61 145.90 139.75 146.50
Indonesia CVI equally weighted  39.09 39.19 39.73 40.61 40.25 40.06 40.58
China CVI value weighted  22.70 22.83 22.88 23.19 22.95 22.75 22.79
China CVI tail  167.45 166.75 168.38 169.84 172.45 169.39 171.69
China CVI equally weighted  51.87 52.15 52.53 52.95 52.94 52.64 52.91
Japan CVI value weighted  4.61 4.64 4.76 4.67 4.67 4.67 4.56
Japan CVI tail  17.41 17.90 18.12 18.02 18.02 17.66 17.24
Japan CVI equally weighted  5.05 5.11 5.16 5.13 5.13 5.04 4.93
Singapore CVI value weighted  5.04 5.03 4.92 4.96 4.84 4.83 4.82
Singapore CVI tail  187.93 188.58 179.51 177.07 180.71 181.80 181.80
Singapore CVI equally weighted  43.05 43.02 42.43 41.53 42.25 42.12 42.06
Australia CVI value weighted  3.23 3.24 3.21 3.26 3.18 3.16 3.19
Australia CVI tail  66.50 64.64 64.64 62.89 65.28 65.90 67.95
Australia CVI equally weighted  15.67 15.05 15.14 14.86 15.08 15.07 15.11
Taiwan CVI value weighted  1.47 1.47 1.48 1.42 1.42 1.36 1.34
Taiwan CVI tail  12.82 12.92 12.99 11.25 11.21 10.87 10.71
Taiwan CVI equally weighted  3.03 3.10 3.09 2.98 2.91 2.82 2.80
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  3.06 3.03 3.02 3.03 3.03 2.96 2.92
S&P 500 CVI tail  29.80 29.06 28.86 29.05 29.00 27.35 27.04
S&P 500 CVI equally weighted  8.97 9.08 9.27 9.17 9.17 8.85 8.61
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