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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: 09/24/2020 09/23/2020 09/22/2020 09/21/2020 09/18/2020 09/17/2020 09/16/2020
RMI CVI - North America
[4587] US CVI value weighted  13.57 13.47 12.94 12.94 12.34 12.14 12.10
[4899] US CVI tail  275.95 271.39 259.03 253.68 236.00 235.35 233.99
[4901] US CVI equally weighted  74.84 73.74 68.99 68.05 63.56 62.34 63.81
[4903] Canada CVI value weighted  11.11 11.19 10.68 10.77 10.24 10.12 10.03
[4905] Canada CVI tail  374.66 366.07 362.96 383.89 369.09 361.32 361.99
[4907] Canada CVI equally weighted  94.86 90.16 91.30 90.46 88.49 87.61 86.77
RMI CVI - Asia
[8985] Malaysia CVI value weighted  29.91 29.74 29.10 29.10 28.66 28.90 28.39
[8987] Malaysia CVI tail  313.74 310.23 306.40 295.99 284.19 296.98 298.24
[8989] Malaysia CVI equally weighted  92.83 91.54 88.04 87.95 84.72 86.95 85.88
[8991] Philippines CVI value weighted  17.11 16.98 16.95 16.87 16.77 16.75 16.67
[8993] Philippines CVI tail  85.24 84.10 85.75 82.06 86.59 83.33 78.65
[8995] Philippines CVI equally weighted  23.26 23.43 23.47 23.54 23.02 23.10 23.00
[8997] Thailand CVI value weighted  19.35 18.86 18.63 18.35 17.81 17.94 17.71
[8999] Thailand CVI tail  93.86 92.16 94.12 96.58 93.74 93.99 92.32
[9001] Thailand CVI equally weighted  26.49 25.95 26.27 26.07 25.57 25.87 25.55
[9003] Vietnam CVI value weighted  19.35 19.02 19.31 19.25 19.63 20.22 19.96
[9005] Vietnam CVI tail  178.38 184.24 179.90 179.23 176.56 179.30 172.06
[9007] Vietnam CVI equally weighted  59.02 59.09 58.89 58.79 59.16 59.44 58.67
[10173] Indonesia CVI value weighted  56.22 54.67 53.43 52.08 50.20 51.05 50.43
[10175] Indonesia CVI tail  162.62 157.29 157.55 154.06 151.39 154.50 152.16
[10177] Indonesia CVI equally weighted  49.62 48.33 47.61 46.62 45.70 46.49 46.35
[4591] China CVI value weighted  25.97 25.32 25.33 25.04 24.78 25.13 24.97
[4909] China CVI tail  246.06 237.27 239.01 237.58 236.40 239.01 237.31
[4911] China CVI equally weighted  79.00 77.31 77.36 76.45 74.70 75.56 75.46
[4913] Japan CVI value weighted  11.28 11.09 10.89 10.89 10.89 11.00 10.94
[4915] Japan CVI tail  31.22 30.04 29.26 29.26 29.26 29.58 29.20
[4917] Japan CVI equally weighted  8.25 8.05 7.87 7.87 7.87 8.00 7.95
[4919] Singapore CVI value weighted  18.76 18.34 18.31 17.99 17.65 17.65 17.44
[4921] Singapore CVI tail  214.26 210.09 214.48 209.01 202.92 202.19 198.96
[4923] Singapore CVI equally weighted  55.06 55.49 54.51 53.67 54.33 55.37 51.74
[8683] Australia CVI value weighted  35.39 34.41 35.44 34.60 33.53 33.55 32.04
[8685] Australia CVI tail  251.87 241.58 240.75 236.10 235.66 235.90 236.42
[8687] Australia CVI equally weighted  62.87 61.81 61.47 60.28 60.16 60.32 58.34
[8681] Taiwan CVI value weighted  2.51 2.33 2.30 2.22 2.18 2.19 2.16
[8679] Taiwan CVI tail  11.87 11.51 11.54 11.17 11.21 11.46 11.35
[8677] Taiwan CVI equally weighted  3.41 3.32 3.36 3.21 3.20 3.26 3.28
RMI CVI - Middle East
[10155] Israel CVI value weighted  15.92 15.28 14.76 15.17 14.87 14.87 14.57
[10157] Israel CVI tail  112.09 103.06 99.86 101.03 110.30 106.34 108.10
[10159] Israel CVI equally weighted  31.48 30.07 29.49 30.21 30.46 30.52 29.61
RMI CVI - Europe
[4941] Eurozone CVI value weighted  13.04 12.83 12.91 12.93 11.83 11.54 11.42
[4943] Eurozone CVI tail  107.92 107.54 107.33 104.39 100.30 97.27 96.81
[4945] Eurozone CVI equally weighted  33.55 33.39 33.58 33.46 31.53 31.10 30.99
[4929] Germany CVI value weighted  11.88 11.91 11.82 11.90 10.85 10.65 10.61
[4931] Germany CVI tail  112.17 108.83 109.55 106.83 105.62 105.66 103.06
[4933] Germany CVI equally weighted  36.20 37.98 38.50 39.13 36.03 35.49 34.55
[4589] France CVI value weighted  13.62 13.28 13.52 13.40 12.12 11.70 11.48
[4925] France CVI tail  103.77 97.13 98.88 96.27 90.58 81.24 82.77
[4927] France CVI equally weighted  31.11 30.02 30.23 29.49 27.85 26.49 26.61
[4935] UK CVI value weighted  28.13 27.37 28.18 28.40 25.78 25.11 24.77
[4937] UK CVI tail  245.30 237.56 242.95 243.05 215.44 215.26 210.83
[4939] UK CVI equally weighted  58.77 57.18 58.58 58.72 53.19 51.95 51.61
[8659] Denmark CVI value weighted  9.85 9.50 9.74 9.92 9.44 9.45 9.40
[8663] Denmark CVI tail  117.47 112.95 108.86 113.42 105.00 102.04 98.73
[8661] Denmark CVI equally weighted  31.31 30.25 30.71 30.08 28.83 28.79 28.69
[8665] Norway CVI value weighted  34.83 33.46 33.36 34.12 30.17 30.09 29.83
[8667] Norway CVI tail  429.49 540.43 497.52 485.42 470.82 429.22 394.86
[8669] Norway CVI equally weighted  116.59 114.31 113.87 115.81 106.91 98.92 98.31
[8671] Sweden CVI value weighted  10.77 10.26 10.41 10.51 9.52 9.60 9.56
[8673] Sweden CVI tail  97.20 96.44 101.38 99.72 88.40 93.32 92.27
[8675] Sweden CVI equally weighted  28.31 27.12 27.47 27.53 25.95 26.60 26.75
[10143] Turkey CVI value weighted  74.28 77.46 79.04 79.39 76.13 76.88 76.97
[10145] Turkey CVI tail  167.76 178.60 185.39 186.18 175.21 178.08 177.31
[10147] Turkey CVI equally weighted  49.11 50.69 51.96 53.20 51.76 51.45 51.90
[10149] Switzerland CVI value weighted  7.77 7.48 7.45 7.47 6.97 6.93 6.79
[10151] Switzerland CVI tail  132.80 131.66 117.47 115.73 109.78 116.41 109.94
[10153] Switzerland CVI equally weighted  39.99 34.70 34.70 33.05 32.22 30.50 28.16
[10161] Greece CVI value weighted  36.16 35.48 35.36 34.08 31.54 31.63 32.79
[10163] Greece CVI tail  243.44 237.37 228.93 227.87 224.97 223.74 220.65
[10165] Greece CVI equally weighted  76.71 75.10 74.46 72.32 70.14 71.38 72.09
[10167] Finland CVI value weighted  10.50 10.24 10.30 10.49 9.57 9.63 9.62
[10169] Finland CVI tail  68.97 64.47 64.74 63.84 60.78 62.30 61.86
[10171] Finland CVI equally weighted  17.00 16.69 16.62 16.89 15.57 15.82 15.93
RMI CVI - Special Portfolios
[4947] S&P 500 CVI value weighted  11.97 11.89 11.48 11.56 10.98 10.77 10.76
[4949] S&P 500 CVI tail  126.24 121.70 118.20 147.32 128.65 128.98 130.05
[4951] S&P 500 CVI equally weighted  28.79 28.57 27.22 28.95 26.80 26.07 26.29
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