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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

Risk Management Institute

Daily indices

Type: 06/24/2019 06/21/2019 06/20/2019 06/19/2019 06/18/2019 06/17/2019 06/14/2019
RMI CVI - North America
[4587] US CVI value weighted  7.09 7.00 6.90 7.00 7.00 7.12 7.80
[4899] US CVI tail  323.23 316.41 312.19 315.29 303.97 315.33 339.73
[4901] US CVI equally weighted  75.24 73.68 72.28 73.20 75.32 76.75 80.29
[4903] Canada CVI value weighted  6.61 6.56 6.41 6.54 6.46 6.55 6.73
[4905] Canada CVI tail  403.94 400.87 404.40 394.05 385.05 385.95 388.35
[4907] Canada CVI equally weighted  83.87 83.21 84.62 86.39 84.61 86.74 90.14
RMI CVI - Asia
[8985] Malaysia CVI value weighted  11.64 11.51 11.68 11.89 12.06 12.35 13.16
[8987] Malaysia CVI tail  210.51 214.33 210.62 208.72 210.31 218.41 224.06
[8989] Malaysia CVI equally weighted  58.36 60.59 59.05 60.15 67.65 67.22 69.64
[8991] Philippines CVI value weighted  10.65 10.60 10.92 10.97 11.23 11.44 11.62
[8993] Philippines CVI tail  70.49 70.98 73.70 74.75 72.16 74.16 80.97
[8995] Philippines CVI equally weighted  15.62 15.60 15.71 16.07 16.16 16.56 17.34
[8997] Thailand CVI value weighted  5.79 5.77 5.80 5.91 6.14 6.28 6.57
[8999] Thailand CVI tail  77.30 77.12 78.37 79.86 81.20 81.59 82.54
[9001] Thailand CVI equally weighted  16.62 17.00 16.96 17.16 18.93 19.43 19.97
[9003] Vietnam CVI value weighted  15.53 15.76 15.30 15.72 15.81 16.47 18.07
[9005] Vietnam CVI tail  213.01 215.49 213.96 205.21 210.97 218.48 227.86
[9007] Vietnam CVI equally weighted  62.92 63.16 62.12 61.14 62.50 63.26 64.78
[10173] Indonesia CVI value weighted  28.71 28.32 28.70 29.18 30.29 31.41 31.46
[10175] Indonesia CVI tail  143.74 149.96 149.88 153.65 156.89 159.05 156.36
[10177] Indonesia CVI equally weighted  39.73 40.15 40.48 41.60 42.73 42.91 43.04
[4591] China CVI value weighted  30.30 30.29 30.23 30.96 31.52 31.72 30.87
[4909] China CVI tail  226.97 225.73 228.57 231.13 236.26 233.59 234.66
[4911] China CVI equally weighted  78.64 78.48 79.39 79.67 82.21 82.20 80.12
[4913] Japan CVI value weighted  6.62 6.60 6.42 6.52 6.82 6.68 6.86
[4915] Japan CVI tail  25.67 25.61 25.36 25.94 27.51 26.86 27.19
[4917] Japan CVI equally weighted  6.87 6.88 6.75 6.88 7.16 6.97 6.96
[4919] Singapore CVI value weighted  7.75 7.63 7.70 7.73 8.09 8.31 8.30
[4921] Singapore CVI tail  159.44 151.49 161.20 153.82 152.88 176.60 176.96
[4923] Singapore CVI equally weighted  33.16 31.31 32.88 33.41 35.50 38.80 40.10
[8683] Australia CVI value weighted  3.92 3.92 3.86 3.93 4.08 4.10 3.54
[8685] Australia CVI tail  182.72 174.39 179.21 179.81 189.98 185.23 165.76
[8687] Australia CVI equally weighted  48.75 43.46 44.38 45.10 46.60 47.31 43.29
[8681] Taiwan CVI value weighted  2.02 2.03 2.01 2.05 2.17 2.18 2.01
[8679] Taiwan CVI tail  14.68 15.07 14.39 15.33 15.61 15.63 15.77
[8677] Taiwan CVI equally weighted  4.10 4.08 4.10 4.37 4.59 4.78 4.81
RMI CVI - Middle East
[10155] Israel CVI value weighted  10.19 10.11 10.06 10.01 10.07 10.41 10.11
[10157] Israel CVI tail  90.43 88.99 89.20 89.32 91.99 92.41 106.22
[10159] Israel CVI equally weighted  41.75 43.42 44.68 43.38 43.73 43.60 43.89
RMI CVI - Europe
[4941] Eurozone CVI value weighted  6.24 6.28 6.15 6.16 6.23 6.58 6.71
[4943] Eurozone CVI tail  105.59 110.77 106.86 106.02 113.96 114.61 116.22
[4945] Eurozone CVI equally weighted  31.19 31.66 30.61 31.08 32.27 32.47 32.68
[4929] Germany CVI value weighted  8.08 8.21 7.97 8.02 8.16 8.64 8.82
[4931] Germany CVI tail  110.98 119.00 117.68 113.73 117.96 123.67 128.49
[4933] Germany CVI equally weighted  28.73 29.83 27.92 28.04 27.95 27.77 33.00
[4589] France CVI value weighted  5.24 5.29 5.17 5.15 5.18 5.52 5.69
[4925] France CVI tail  79.44 83.50 81.20 81.72 91.09 91.73 92.42
[4927] France CVI equally weighted  23.59 23.88 22.93 24.11 27.22 27.97 28.40
[4935] UK CVI value weighted  17.41 17.31 16.35 16.39 16.30 16.67 17.78
[4937] UK CVI tail  202.26 203.86 201.84 196.54 204.10 202.49 202.77
[4939] UK CVI equally weighted  54.41 54.70 54.39 55.18 56.24 56.88 57.11
[8659] Denmark CVI value weighted  9.65 9.58 9.31 9.26 9.36 9.65 7.86
[8663] Denmark CVI tail  132.86 129.17 127.84 131.59 132.67 137.96 134.29
[8661] Denmark CVI equally weighted  37.61 37.26 36.97 37.00 36.97 37.11 34.22
[8665] Norway CVI value weighted  13.69 13.55 13.70 14.33 14.20 14.66 14.37
[8667] Norway CVI tail  371.15 361.81 455.82 410.30 517.18 536.91 544.62
[8669] Norway CVI equally weighted  85.16 86.07 91.81 95.33 93.73 93.00 97.09
[8671] Sweden CVI value weighted  7.03 6.95 6.93 7.12 7.05 7.31 7.05
[8673] Sweden CVI tail  197.71 205.35 205.31 195.54 203.66 206.95 188.36
[8675] Sweden CVI equally weighted  54.12 54.70 54.57 54.78 55.08 56.45 56.38
[10143] Turkey CVI value weighted  46.77 48.30 46.81 47.79 47.87 51.98 52.80
[10145] Turkey CVI tail  160.11 163.81 157.79 158.31 158.51 167.71 178.60
[10147] Turkey CVI equally weighted  45.70 46.39 44.87 45.57 44.72 47.33 49.30
[10149] Switzerland CVI value weighted  5.28 5.21 5.10 5.17 5.16 5.40 5.82
[10151] Switzerland CVI tail  126.51 127.54 118.44 120.54 127.74 121.71 125.60
[10153] Switzerland CVI equally weighted  53.17 52.76 51.62 52.48 52.66 52.92 55.04
[10161] Greece CVI value weighted  14.63 15.09 14.88 14.51 14.34 15.42 14.71
[10163] Greece CVI tail  368.60 367.52 361.30 369.63 351.83 361.82 366.02
[10165] Greece CVI equally weighted  102.35 102.70 99.97 102.79 105.30 103.46 82.37
[10167] Finland CVI value weighted  5.74 5.64 5.64 5.62 5.63 5.89 5.99
[10169] Finland CVI tail  74.56 73.99 73.99 73.83 74.27 79.12 78.69
[10171] Finland CVI equally weighted  17.62 18.65 18.64 18.69 18.21 18.46 18.63
RMI CVI - Special Portfolios
[4947] S&P 500 CVI value weighted  4.35 4.31 4.27 4.32 4.31 4.40 4.85
[4949] S&P 500 CVI tail  51.84 50.72 49.71 53.08 51.65 56.30 59.24
[4951] S&P 500 CVI equally weighted  11.10 10.63 10.55 10.60 10.62 10.82 11.31
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