Cbonds Page: Risk Management Institute

company Risk Management Institute
full company name NUS RMI Credit Research Initiative
type of legal entity Not specified
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

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Risk Management Institute

Daily indices

Type: 01/13/2017 01/11/2017 01/10/2017 01/09/2017 01/06/2017 01/05/2017 01/04/2017
RMI CVI - Middle East
Israel CVI value weighted  9.86 9.77 9.85 9.76 9.57 9.56 9.58
Israel CVI tail  110.79 120.31 119.58 122.12 122.25 122.98 117.43
Israel CVI equally weighted  26.43 26.53 26.09 26.23 27.06 27.14 27.48
RMI CVI - North America
US CVI value weighted  6.97 6.88 6.92 6.98 6.87 6.75 6.62
US CVI tail  222.12 221.17 226.79 230.90 231.73 229.61 227.71
US CVI equally weighted  52.07 51.97 52.16 52.78 52.49 50.35 49.87
Canada CVI value weighted  9.15 9.13 9.17 9.13 9.05 8.84 8.80
Canada CVI tail  385.35 351.27 337.41 326.70 343.74 339.72 344.40
Canada CVI equally weighted  85.76 85.48 84.53 84.54 85.25 84.78 83.41
RMI CVI - Europe
Eurozone CVI value weighted  8.00 8.13 8.03 8.03 8.04 8.12 8.15
Eurozone CVI tail  90.74 95.98 94.66 95.03 99.35 101.06 102.51
Eurozone CVI equally weighted  30.78 31.65 31.73 31.73 32.08 31.71 32.42
Germany CVI value weighted  5.39 5.45 5.44 5.46 5.50 5.60 5.62
Germany CVI tail  99.34 104.23 96.79 97.33 97.45 107.12 109.03
Germany CVI equally weighted  36.42 36.77 37.69 37.84 38.17 36.74 39.51
France CVI value weighted  6.95 7.12 7.00 7.01 7.03 7.13 7.17
France CVI tail  69.37 68.09 65.55 65.10 70.61 71.72 72.20
France CVI equally weighted  20.10 20.45 20.08 19.98 21.65 22.10 20.43
UK CVI value weighted  12.17 12.18 12.19 12.35 12.41 12.68 12.84
UK CVI tail  140.95 142.43 137.30 134.44 135.38 139.46 140.63
UK CVI equally weighted  37.51 37.45 37.35 37.34 37.48 39.11 39.67
Denmark CVI value weighted  11.41 11.67 11.64 11.69 11.63 11.88 12.07
Denmark CVI tail  169.72 167.54 169.45 168.63 171.78 168.66 170.35
Denmark CVI equally weighted  40.51 41.38 40.56 41.17 41.16 42.84 43.44
Norway CVI value weighted  19.29 19.72 19.99 20.23 20.05 20.29 20.87
Norway CVI tail  244.84 247.60 235.66 232.98 242.78 254.96 257.31
Norway CVI equally weighted  76.22 77.89 81.60 82.97 82.17 87.85 86.73
Sweden CVI value weighted  4.13 4.21 4.22 4.22 4.24 4.24 4.21
Sweden CVI tail  72.21 74.82 77.79 76.85 75.25 75.25 78.34
Sweden CVI equally weighted  19.84 20.33 20.52 20.57 20.91 20.93 21.04
Turkey CVI value weighted  28.83 30.62 30.19 29.92 30.31 30.69 30.50
Turkey CVI tail  133.70 134.08 133.73 133.90 134.98 134.23 132.95
Turkey CVI equally weighted  40.52 40.49 40.16 39.84 40.55 40.38 40.05
Switzerland CVI value weighted  7.30 7.24 7.21 7.23 7.25 7.28 7.32
Switzerland CVI tail  116.78 108.54 120.16 118.85 113.87 115.55 117.84
Switzerland CVI equally weighted  39.31 38.83 38.99 39.44 39.87 39.84 40.35
Greece CVI value weighted  35.84 36.32 36.36 36.84 37.79 37.28 37.08
Greece CVI tail  250.07 301.48 283.30 292.63 289.81 287.39 292.72
Greece CVI equally weighted  71.11 75.83 76.24 76.47 76.94 75.14 75.63
Finland CVI value weighted  3.11 3.17 3.14 3.12 3.14 3.14 3.11
Finland CVI tail  51.31 52.59 48.69 54.32 53.77 53.77 52.97
Finland CVI equally weighted  16.47 18.12 18.07 17.33 19.44 19.44 20.24
RMI CVI - Asia
Malaysia CVI value weighted  8.94 9.01 9.06 9.17 9.15 9.29 9.46
Malaysia CVI tail  176.94 180.38 180.43 180.02 186.97 189.45 192.70
Malaysia CVI equally weighted  45.73 46.48 47.00 47.89 47.35 48.16 49.61
Philippines CVI value weighted  8.35 8.07 8.02 8.38 8.46 8.73 9.09
Philippines CVI tail  81.15 76.93 78.10 78.17 80.49 81.35 80.94
Philippines CVI equally weighted  16.64 16.28 16.47 17.03 17.13 17.26 17.47
Thailand CVI value weighted  6.77 6.77 6.72 6.83 6.73 6.81 6.90
Thailand CVI tail  35.70 35.83 35.57 35.97 37.58 38.05 38.48
Thailand CVI equally weighted  8.59 8.59 8.49 8.64 8.69 8.89 9.02
Vietnam CVI value weighted  28.05 27.93 28.55 28.48 29.12 29.69 29.72
Vietnam CVI tail  258.34 255.34 255.49 254.28 257.91 258.27 255.39
Vietnam CVI equally weighted  66.50 66.46 65.67 66.21 66.76 66.63 66.41
Indonesia CVI value weighted  36.05 35.65 35.38 35.83 35.22 35.86 35.80
Indonesia CVI tail  122.40 122.42 122.13 123.83 122.45 124.02 132.57
Indonesia CVI equally weighted  36.27 36.39 36.49 36.73 37.07 37.77 37.85
China CVI value weighted  38.78 38.46 38.46 38.65 38.74 38.79 38.97
China CVI tail  219.15 212.70 214.87 213.47 214.04 216.17 218.21
China CVI equally weighted  76.93 74.71 74.78 75.16 75.30 75.35 75.34
Japan CVI value weighted  6.97 6.46 6.64 6.52 6.52 6.51 6.49
Japan CVI tail  23.19 21.54 21.75 22.15 22.15 21.92 22.10
Japan CVI equally weighted  6.30 5.84 5.95 5.95 5.95 6.03 6.04
Singapore CVI value weighted  7.75 7.93 7.95 8.23 8.30 8.41 8.60
Singapore CVI tail  217.30 220.98 210.04 233.08 233.56 218.10 221.75
Singapore CVI equally weighted  51.71 52.25 52.50 53.94 53.43 53.89 54.37
Australia CVI value weighted  2.23 2.21 2.23 2.23 2.28 2.33 2.37
Australia CVI tail  42.26 42.47 41.01 42.64 43.37 44.15 44.34
Australia CVI equally weighted  9.31 9.44 9.50 9.75 9.71 10.08 10.15
Taiwan CVI value weighted  2.04 2.05 2.05 2.07 2.05 2.08 2.12
Taiwan CVI tail  12.15 12.15 12.22 12.15 12.06 11.92 12.46
Taiwan CVI equally weighted  3.31 3.40 3.42 3.46 3.41 3.45 3.50
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  5.00 4.89 4.93 4.96 4.87 4.79 4.70
S&P 500 CVI tail  40.49 40.27 41.87 40.86 40.34 41.17 37.33
S&P 500 CVI equally weighted  10.71 10.45 10.39 10.36 10.16 9.91 9.73
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