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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.

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Сontacts

Dexter
Tan
Research Analyst
+65 6516 3380

Risk Management Institute

Daily indices

Type: 01/15/2018 01/12/2018 01/11/2018 01/10/2018 01/09/2018 01/08/2018 01/05/2018
RMI CVI - Middle East
Israel CVI value weighted  9.48 9.24 9.23 9.68 9.60 9.67 9.98
Israel CVI tail  87.24 88.25 87.89 90.20 81.03 82.07 94.96
Israel CVI equally weighted  26.01 25.15 25.41 25.79 25.44 25.58 27.19
RMI CVI - North America
US CVI value weighted  3.66 3.66 3.64 3.74 3.78 3.73 3.77
US CVI tail  144.10 144.21 140.35 144.61 144.51 143.46 142.46
US CVI equally weighted  36.22 36.25 36.12 37.83 38.27 37.23 37.53
Canada CVI value weighted  5.79 5.79 5.60 5.91 6.01 5.92 5.80
Canada CVI tail  218.89 210.67 207.34 224.38 228.44 218.84 221.92
Canada CVI equally weighted  48.47 47.37 48.10 50.06 52.73 52.42 52.81
RMI CVI - Europe
Eurozone CVI value weighted  5.36 5.23 5.29 5.30 5.29 5.37 5.44
Eurozone CVI tail  73.57 68.97 70.53 69.47 70.56 71.98 72.77
Eurozone CVI equally weighted  24.88 23.97 24.12 23.64 24.63 24.90 24.24
Germany CVI value weighted  4.20 4.02 4.03 4.00 3.95 3.95 4.05
Germany CVI tail    94.99 115.58 107.64 115.34 109.50 105.76
Germany CVI equally weighted  31.25 30.57 29.98 29.80 29.00 30.02 30.84
France CVI value weighted  5.53 5.31 5.38 5.34 5.31 5.42 5.46
France CVI tail  45.81 43.50 44.46 44.97 45.59 49.82 48.82
France CVI equally weighted  15.27 14.93 15.21 14.99 15.20 15.81 16.13
UK CVI value weighted  9.59 9.40 9.38 9.51 9.48 9.62 9.59
UK CVI tail  141.00 136.27 137.69 136.04 138.08 139.07 142.30
UK CVI equally weighted  41.76 41.06 40.10 40.31 40.22 40.86 41.24
Denmark CVI value weighted  6.80 6.57 6.45 6.40 6.36 6.38 6.54
Denmark CVI tail  124.15 118.57 118.85 116.34 116.29 111.68 122.04
Denmark CVI equally weighted  32.83 31.30 30.63 30.69 31.30 30.83 33.09
Norway CVI value weighted  20.13 20.05 19.85 19.92 20.36 20.86 21.13
Norway CVI tail  226.83 230.35 231.02 257.03 266.94 289.94 298.14
Norway CVI equally weighted  69.11 70.37 71.76 72.51 76.37 76.83 78.88
Sweden CVI value weighted  4.23 4.19 4.08 4.15 4.17 4.30 4.34
Sweden CVI tail  82.42 83.20 90.34 90.77 91.10 96.52 99.13
Sweden CVI equally weighted  26.41 26.02 25.48 26.15 26.52 27.70 28.66
Turkey CVI value weighted  23.46 20.32 18.80 20.28 19.54 19.02 18.89
Turkey CVI tail  79.72 69.57 65.26 70.95 69.41 68.28 68.58
Turkey CVI equally weighted  28.73 24.50 22.83 24.48 23.73 23.48 23.86
Switzerland CVI value weighted  2.71 2.70 2.71 2.75 2.73 2.72 2.32
Switzerland CVI tail  50.99 46.19 45.45 47.86 47.24 47.45 47.50
Switzerland CVI equally weighted  15.49 15.11 15.05 16.26 15.99 15.89 15.81
Greece CVI value weighted  16.46 15.90 15.97 16.45 16.29 16.20 16.45
Greece CVI tail  199.21 195.30 193.14 192.55 177.87 181.74 181.48
Greece CVI equally weighted  50.58 49.66 48.77 49.44 48.86 47.70 48.22
Finland CVI value weighted  4.30 4.26 4.32 4.27 4.24 4.34 4.39
Finland CVI tail  30.72 30.87 30.72 31.80 30.59 35.05 34.08
Finland CVI equally weighted  13.47 13.17 13.11 13.28 13.09 13.49 13.05
RMI CVI - Asia
Malaysia CVI value weighted  9.48 8.84 8.98 8.89 8.85 8.73 8.95
Malaysia CVI tail  152.69 146.58 152.09 145.86 145.38 148.06 131.81
Malaysia CVI equally weighted  49.06 49.36 50.22 48.97 49.03 48.57 40.97
Philippines CVI value weighted  11.16 10.49 10.49 11.47 10.36 10.57 11.21
Philippines CVI tail  79.67 75.71 81.15 89.69 75.60 75.56 76.32
Philippines CVI equally weighted  20.70 19.34 19.43 20.33 19.22 19.16 19.44
Thailand CVI value weighted  5.85 5.36 5.45 5.51 5.53 5.53 5.60
Thailand CVI tail  62.57 61.22 62.74 61.45 61.60 62.31 49.30
Thailand CVI equally weighted  16.71 15.59 15.82 16.36 16.50 16.47 13.16
Vietnam CVI value weighted  16.12 15.61 15.49 15.69 15.76 16.15 17.54
Vietnam CVI tail  152.66 147.07 144.58 147.89 148.64 154.36 143.29
Vietnam CVI equally weighted  44.93 43.89 43.43 43.92 44.04 44.39 44.87
Indonesia CVI value weighted  18.06 17.67 17.66 18.00 18.00 17.84 19.15
Indonesia CVI tail  116.80 115.25 115.77 117.48 116.95 117.54 110.47
Indonesia CVI equally weighted  34.12 34.04 33.92 34.56 34.67 34.67 32.31
China CVI value weighted  26.27 26.66 26.74 26.67 26.66 26.75 26.83
China CVI tail  214.08 219.63 219.56 218.84 217.56 215.69 217.36
China CVI equally weighted  58.18 59.02 58.74 58.76 58.19 58.29 57.93
Japan CVI value weighted  3.58 3.60 3.58 3.55 3.64 3.65 3.65
Japan CVI tail  12.28 12.50 12.60 12.44 12.66 12.80 12.81
Japan CVI equally weighted  3.49 3.50 3.52 3.50 3.58 3.60 3.55
Singapore CVI value weighted  4.70 4.69 4.73 4.74 4.69 4.81 4.91
Singapore CVI tail  160.21 159.26 164.36 170.59 148.34 156.15 156.75
Singapore CVI equally weighted  32.71 32.36 32.85 34.83 32.80 33.59 33.68
Australia CVI value weighted  2.70 2.57 2.56 2.55 2.52 2.51 2.52
Australia CVI tail  62.17 62.05 61.31 60.45 62.09 59.39 61.39
Australia CVI equally weighted  14.32 13.40 13.42 13.55 13.90 13.65 13.81
Taiwan CVI value weighted  1.56 1.41 1.43 1.41 1.40 1.39 1.40
Taiwan CVI tail  10.58 9.66 10.12 10.19 10.21 10.36 10.84
Taiwan CVI equally weighted  2.55 2.45 2.46 2.42 2.45 2.42 2.40
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  1.82 1.82 1.82 1.86 1.88 1.86 1.88
S&P 500 CVI tail  27.05 27.05 25.70 25.53 25.63 26.43 27.49
S&P 500 CVI equally weighted  6.00 6.00 5.99 6.21 6.20 5.96 6.01
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