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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: 05/18/2018 05/17/2018 05/16/2018 05/15/2018 05/14/2018 05/11/2018 05/10/2018
RMI CVI - Middle East
Israel CVI value weighted  12.81 12.81 13.19 13.43 13.63 14.18 10.98
Israel CVI tail  115.86 116.24 113.65 106.33 107.62 113.53 80.73
Israel CVI equally weighted  34.97 35.38 36.15 35.79 35.76 35.73 28.05
RMI CVI - North America
US CVI value weighted  4.41 4.39 4.33 4.37 4.38 4.45 3.74
US CVI tail  188.61 191.78 193.82 191.15 191.90 194.87 128.72
US CVI equally weighted  43.79 44.29 44.49 44.95 45.25 44.45 33.84
Canada CVI value weighted  6.51 6.51 6.43 6.44 6.49 6.26 5.93
Canada CVI tail  304.53 306.10 303.24 303.76 307.86 303.00 227.29
Canada CVI equally weighted  79.89 82.39 78.39 79.84 80.27 75.39 60.03
RMI CVI - Europe
Eurozone CVI value weighted  5.69 5.66 5.79 5.76 5.72 5.98 6.69
Eurozone CVI tail  110.85 115.95 111.37 111.82 107.81 117.28 92.72
Eurozone CVI equally weighted  29.40 29.54 29.01 29.96 29.96 31.39 29.40
Germany CVI value weighted  5.08 5.08 5.16 5.20 5.17 5.29 5.76
Germany CVI tail  112.11 115.61 102.23 111.74 104.01 107.49 136.60
Germany CVI equally weighted  36.24 35.21 34.73 34.44 35.39 36.21 38.23
France CVI value weighted  5.64 5.65 5.80 5.83 5.80 5.76 6.61
France CVI tail  87.59 94.54 91.11 91.78 90.45 97.04 53.07
France CVI equally weighted  21.06 21.96 21.48 21.66 21.53 22.70 18.11
UK CVI value weighted  9.71 9.69 9.86 9.91 9.94 9.77 10.77
UK CVI tail  139.77 139.63 144.01 146.97 149.99 155.62 133.98
UK CVI equally weighted  39.35 39.71 40.39 40.52 40.87 40.78 40.28
Denmark CVI value weighted  4.02 3.96 4.31 4.34 4.13 4.41 6.98
Denmark CVI tail  74.25 73.92 73.41 75.02 72.85 86.41 107.24
Denmark CVI equally weighted  22.16 22.17 22.08 22.40 21.82 23.85 29.30
Norway CVI value weighted  6.40 6.64 6.64 6.69 6.75 7.58 16.56
Norway CVI tail  116.37 117.22 117.22 126.42 112.58 120.11 183.71
Norway CVI equally weighted  35.98 36.00 36.03 36.80 36.50 36.80 60.28
Sweden CVI value weighted  4.97 5.03 5.11 5.08 5.14 4.86 6.61
Sweden CVI tail  211.66 216.40 224.28 202.68 232.09 214.32 171.07
Sweden CVI equally weighted  51.09 49.62 50.08 48.05 52.29 50.95 48.96
Turkey CVI value weighted  95.50 97.29 95.11 92.56 82.00 91.00 51.92
Turkey CVI tail  254.92 257.45 251.54 249.69 231.01 239.31 165.06
Turkey CVI equally weighted  75.19 75.64 73.81 72.65 67.39 74.35 54.35
Switzerland CVI value weighted  4.24 4.20 4.27 4.23 4.28 3.69 4.41
Switzerland CVI tail  132.74 130.35 129.59 132.30 133.48 150.52 72.25
Switzerland CVI equally weighted  27.93 28.22 29.01 28.48 29.16 31.15 22.86
Greece CVI value weighted  21.87 21.84 21.72 20.89 20.09 21.34 20.25
Greece CVI tail  367.29 366.17 315.84 290.44 328.88 350.67 255.82
Greece CVI equally weighted  80.90 81.78 78.68 76.71 76.61 80.84 63.81
Finland CVI value weighted  3.67 3.69 3.76 3.79 3.77 4.94 4.56
Finland CVI tail  79.46 79.63 79.20 80.57 80.70 87.35 50.76
Finland CVI equally weighted  14.55 14.49 14.53 15.49 14.42 16.31 13.87
RMI CVI - Asia
Malaysia CVI value weighted  8.21 8.16 8.07 8.07 8.03 7.69 11.35
Malaysia CVI tail  206.81 206.24 206.05 197.40 196.55 195.49 242.29
Malaysia CVI equally weighted  59.85 60.35 59.93 59.24 59.02 58.39 75.73
Philippines CVI value weighted  12.08 11.89 11.41 11.21 10.97 10.98 15.13
Philippines CVI tail  98.91 98.55 98.78 98.26 97.06 97.06 111.26
Philippines CVI equally weighted  23.38 23.02 22.95 22.81 22.82 22.83 26.28
Thailand CVI value weighted  4.36 4.35 4.31 4.20 4.15 4.04 5.17
Thailand CVI tail  81.76 83.95 83.39 82.55 81.22 79.14 68.56
Thailand CVI equally weighted  19.72 19.65 19.41 19.28 18.82 19.11 18.36
Vietnam CVI value weighted  14.14 14.45 13.86 13.19 13.40 13.04 20.67
Vietnam CVI tail  258.32 240.35 239.63 235.68 241.42 233.79 197.23
Vietnam CVI equally weighted  71.77 70.17 69.85 68.78 69.26 69.95 59.42
Indonesia CVI value weighted  27.87 26.69 26.72 26.83 25.70 24.08 29.03
Indonesia CVI tail  181.03 175.01 179.06 177.69 181.71 178.04 138.78
Indonesia CVI equally weighted  48.50 47.64 48.66 48.52 48.30 46.95 37.71
China CVI value weighted  21.84 21.96 21.80 21.70 21.68 22.80 30.30
China CVI tail  171.05 171.43 170.50 169.75 170.63 178.84 232.01
China CVI equally weighted  51.82 52.11 52.02 51.61 52.09 53.55 62.07
Japan CVI value weighted  3.14 3.15 3.18 3.16 3.23 3.40 4.76
Japan CVI tail  16.17 16.32 16.37 16.25 15.70 16.69 17.77
Japan CVI equally weighted  3.81 3.82 3.84 3.79 3.78 3.90 4.36
Singapore CVI value weighted  5.12 5.12 5.09 5.05 4.96 4.78 8.26
Singapore CVI tail  168.52 175.64 166.68 159.24 164.93 152.64 196.01
Singapore CVI equally weighted  40.06 40.03 38.55 38.87 39.60 37.41 46.65
Australia CVI value weighted  4.18 4.16 4.16 4.17 4.08 4.14 3.85
Australia CVI tail  127.59 124.01 130.04 128.11 125.32 122.95 81.22
Australia CVI equally weighted  29.43 27.98 29.49 28.46 28.46 27.50 17.98
Taiwan CVI value weighted  1.05 1.06 1.05 1.17 1.15 1.14 2.28
Taiwan CVI tail  8.16 8.11 7.85 7.99 7.79 8.00 13.18
Taiwan CVI equally weighted  2.21 2.24 2.23 2.22 2.19 2.18 3.11
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  2.08 2.06 2.02 2.04 2.03 1.86 2.04
S&P 500 CVI tail  29.83 30.04 29.79 29.64 30.36 26.40 21.98
S&P 500 CVI equally weighted  5.85 5.74 5.64 5.71 5.77 5.63 4.97
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