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: 04/26/2017 04/25/2017 04/24/2017 04/21/2017 04/20/2017 04/19/2017 04/18/2017
RMI CVI - Middle East
Israel CVI value weighted  8.87 9.02 8.90 9.10 9.10 9.06 8.99
Israel CVI tail  119.21 116.94 118.99 121.05 120.33 120.97 121.33
Israel CVI equally weighted  24.36 24.35 24.62 24.73 24.57 24.49 24.37
RMI CVI - North America
US CVI value weighted  5.21 5.24 5.29 5.34 5.29 5.35 5.36
US CVI tail  186.81 193.70 192.25 192.20 192.24 194.04 191.52
US CVI equally weighted  47.31 49.32 49.70 49.05 50.18 49.90 50.52
Canada CVI value weighted  7.32 7.11 7.00 6.98 6.95 6.94 6.93
Canada CVI tail  305.72 311.24 307.18 286.11 313.60 315.64 330.08
Canada CVI equally weighted  84.29 82.51 79.56 80.04 82.39 81.17 90.70
RMI CVI - Europe
Eurozone CVI value weighted  6.35 6.35 6.55 6.92 6.91 6.95 6.94
Eurozone CVI tail  86.26 85.26 87.34 84.73 86.94 86.42 85.57
Eurozone CVI equally weighted  26.96 27.27 27.30 28.23 28.05 28.13 27.96
Germany CVI value weighted  4.43 4.42 4.48 4.71 4.71 4.75 4.70
Germany CVI tail  104.50 104.57 101.24 101.49 101.19 101.94 102.19
Germany CVI equally weighted  28.00 28.16 27.52 27.89 26.75 27.89 27.56
France CVI value weighted  5.59 5.61 5.68 6.10 6.11 6.22 6.21
France CVI tail  60.85 61.48 65.89 63.84 65.71 65.46 64.11
France CVI equally weighted  14.23 14.65 14.81 14.61 14.61 14.59 14.49
UK CVI value weighted  12.81 12.98 12.49 12.95 12.96 13.00 13.04
UK CVI tail  112.79 110.32 113.08 112.43 113.26 114.89 112.44
UK CVI equally weighted  29.54 29.51 29.85 30.17 30.38 30.64 30.88
Denmark CVI value weighted  11.61 11.78 11.91 12.20 12.01 12.21 12.14
Denmark CVI tail  78.64 78.61 78.89 83.20 81.11 80.31 81.41
Denmark CVI equally weighted  24.12 24.08 24.85 25.27 24.57 24.89 24.55
Norway CVI value weighted  15.15 14.93 15.26 15.64 15.53 15.46 15.14
Norway CVI tail  156.30 153.88 152.91 143.34 145.77 151.20 141.51
Norway CVI equally weighted  39.23 38.81 39.19 39.09 39.01 39.07 37.83
Sweden CVI value weighted  4.98 4.99 4.99 5.22 5.25 5.27 5.25
Sweden CVI tail  83.41 83.25 79.98 77.77 76.94 75.74 74.48
Sweden CVI equally weighted  28.76 28.96 29.30 29.62 29.71 28.26 27.45
Turkey CVI value weighted  27.70 27.11 27.56 28.23 28.19 29.07 28.96
Turkey CVI tail  124.95 122.14 130.31 122.61 122.42 125.59 128.66
Turkey CVI equally weighted  37.87 37.59 38.09 38.01 38.03 38.70 38.87
Switzerland CVI value weighted  4.68 4.71 4.77 4.93 4.90 4.91 4.89
Switzerland CVI tail  73.35 69.43 69.39 75.81 70.26 78.06 74.22
Switzerland CVI equally weighted  36.59 36.06 36.88 35.78 36.34 36.39 35.49
Greece CVI value weighted  28.17 28.75 29.53 29.93 29.57 29.12 28.99
Greece CVI tail  342.65 334.09 333.90 275.98 254.83 254.99 237.19
Greece CVI equally weighted  118.68 119.86 121.71 115.48 117.23 114.90 115.81
Finland CVI value weighted  5.92 5.89 6.04 6.29 6.29 6.40 6.31
Finland CVI tail  33.00 32.42 32.99 35.72 35.94 36.24 36.30
Finland CVI equally weighted  10.58 10.63 10.96 11.05 11.16 11.37 11.36
RMI CVI - Asia
Malaysia CVI value weighted  9.70 9.84 10.01 10.02 10.14 10.18 10.13
Malaysia CVI tail  159.76 159.56 168.46 166.64 159.87 160.02 158.39
Malaysia CVI equally weighted  48.97 47.83 48.31 47.76 45.32 45.49 44.47
Philippines CVI value weighted  8.63 8.74 8.87 8.91 8.92 8.98 8.88
Philippines CVI tail  69.57 69.60 68.92 67.52 69.93 70.72 68.97
Philippines CVI equally weighted  17.55 17.69 17.58 17.57 17.55 17.54 17.51
Thailand CVI value weighted  10.40 10.39 10.37 10.27 10.31 10.30 10.12
Thailand CVI tail  44.93 47.43 45.77 43.72 44.78 44.66 44.83
Thailand CVI equally weighted  11.93 12.02 11.63 11.60 11.56 11.33 11.32
Vietnam CVI value weighted  22.45 22.65 22.49 21.98 21.75 21.58 21.86
Vietnam CVI tail  203.60 206.78 201.86 197.08 200.07 197.11 200.09
Vietnam CVI equally weighted  52.45 53.66 52.81 51.68 52.19 51.48 52.55
Indonesia CVI value weighted  26.51 27.14 27.65 27.66 27.54 27.00 27.00
Indonesia CVI tail  134.54 132.90 134.03 134.03 132.39 130.45 130.45
Indonesia CVI equally weighted  35.43 35.38 35.89 35.89 35.84 35.20 35.20
China CVI value weighted  28.32 28.25 28.42 28.15 28.09 28.19 28.02
China CVI tail  198.15 198.96 199.49 193.51 191.44 188.13 182.27
China CVI equally weighted  62.04 62.06 63.06 61.07 60.75 60.16 59.49
Japan CVI value weighted  6.72 6.81 7.00 7.08 7.32 7.50 7.49
Japan CVI tail  22.55 23.03 23.33 23.31 23.76 24.60 24.53
Japan CVI equally weighted  6.46 6.53 6.63 6.54 6.74 6.89 6.85
Singapore CVI value weighted  5.64 5.63 5.79 5.89 5.82 5.84 5.77
Singapore CVI tail  157.68 157.31 162.08 163.48 167.49 165.34 158.13
Singapore CVI equally weighted  38.66 36.65 38.84 40.67 39.11 37.43 40.01
Australia CVI value weighted  3.30 3.34 3.33 3.37 3.42 3.41 3.37
Australia CVI tail  63.73 63.34 63.34 60.95 58.67 60.99 62.21
Australia CVI equally weighted  14.30 14.04 14.04 13.82 13.65 13.76 13.88
Taiwan CVI value weighted  1.65 1.65 1.70 1.71 1.73 1.75 1.71
Taiwan CVI tail  10.47 10.69 10.88 11.00 11.18 11.49 10.81
Taiwan CVI equally weighted  3.11 3.17 3.19 3.17 3.21 3.22 3.19
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  3.32 3.35 3.38 3.44 3.38 3.44 3.44
S&P 500 CVI tail  41.66 41.45 43.44 42.70 42.77 43.20 42.74
S&P 500 CVI equally weighted  8.88 8.99 9.14 9.29 9.09 9.19 9.20
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