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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: 07/03/2020 07/02/2020 07/01/2020 06/30/2020 06/29/2020 06/26/2020 06/25/2020
RMI CVI - North America
[4587] US CVI value weighted  10.84 10.86 10.94 10.86 11.06 11.51 10.90
[4899] US CVI tail  275.83 278.78 277.77 274.36 274.38 292.73 271.60
[4901] US CVI equally weighted  65.56 70.30 69.48 67.03 66.93 72.50 67.84
[4903] Canada CVI value weighted  11.00 11.04 11.21 11.20 11.32 11.65 11.19
[4905] Canada CVI tail  431.21 437.17 449.27 449.27 452.47 434.06 436.46
[4907] Canada CVI equally weighted  108.96 109.50 112.51 112.54 114.98 114.52 111.97
RMI CVI - Asia
[8985] Malaysia CVI value weighted  16.85 17.18 17.56 17.64 18.16 18.20 18.17
[8987] Malaysia CVI tail  223.13 223.42 227.38 226.64 229.22 230.86 221.26
[8989] Malaysia CVI equally weighted  66.83 66.53 66.53 67.80 68.08 68.34 68.06
[8991] Philippines CVI value weighted  16.44 16.51 17.07 17.14 18.15 17.76 18.00
[8993] Philippines CVI tail  90.84 92.09 92.33 91.74 94.73 93.46 93.41
[8995] Philippines CVI equally weighted  24.66 24.72 25.19 25.13 26.01 25.59 25.61
[8997] Thailand CVI value weighted  16.18 16.06 16.51 16.62 16.69 16.61 16.61
[8999] Thailand CVI tail  97.35 97.90 96.59 97.74 105.43 103.64 105.13
[9001] Thailand CVI equally weighted  28.15 28.11 28.93 28.45 28.53 28.30 28.57
[9003] Vietnam CVI value weighted  20.66 20.86 20.69 22.01 21.64 20.19 19.94
[9005] Vietnam CVI tail  207.81 203.74 203.91 204.36 203.69 195.98 194.84
[9007] Vietnam CVI equally weighted  65.77 65.23 65.31 65.64 65.36 63.52 62.50
[10173] Indonesia CVI value weighted  56.59 56.23 57.42 57.17 56.78 56.21 56.13
[10175] Indonesia CVI tail  185.50 183.87 184.85 184.53 183.44 180.92 184.82
[10177] Indonesia CVI equally weighted  56.03 55.90 56.03 55.60 55.18 53.61 55.04
[4591] China CVI value weighted  23.74 24.20 25.02 25.23 25.36 25.09 25.04
[4909] China CVI tail  255.75 258.07 259.43 261.60 261.26 259.15 262.04
[4911] China CVI equally weighted  84.44 84.84 85.37 85.67 84.75 83.45 83.25
[4913] Japan CVI value weighted  10.39 10.78 10.62 10.29 10.34 9.79 10.01
[4915] Japan CVI tail  32.40 33.71 32.23 30.76 31.24 29.69 29.36
[4917] Japan CVI equally weighted  8.47 8.73 8.33 8.03 8.05 7.65 7.73
[4919] Singapore CVI value weighted  17.62 17.81 18.26 18.66 18.74 18.27 18.40
[4921] Singapore CVI tail  194.08 190.96 212.03 199.22 201.50 221.33 217.66
[4923] Singapore CVI equally weighted  47.04 48.47 49.13 49.97 49.95 52.76 51.02
[8683] Australia CVI value weighted  22.88 22.91 23.77 24.45 25.06 23.94 24.79
[8685] Australia CVI tail  294.00 296.61 303.14 335.48 329.75 325.03 315.93
[8687] Australia CVI equally weighted  73.67 73.17 75.80 81.39 79.30 79.73 79.44
[8681] Taiwan CVI value weighted  1.67 1.70 1.74 1.74 1.77 1.73 1.73
[8679] Taiwan CVI tail  12.72 12.99 12.90 12.94 12.99 12.86 12.86
[8677] Taiwan CVI equally weighted  2.92 2.94 3.01 3.01 3.11 3.07 3.07
RMI CVI - Middle East
[10155] Israel CVI value weighted  14.03 14.03 14.51 14.97 15.10 13.65 13.58
[10157] Israel CVI tail  125.32 125.32 130.51 136.34 127.12 120.62 120.29
[10159] Israel CVI equally weighted  33.37 33.43 34.13 34.26 34.27 31.60 31.51
RMI CVI - Europe
[4941] Eurozone CVI value weighted  11.55 11.32 11.91 11.83 11.82 12.05 11.76
[4943] Eurozone CVI tail  107.63 106.46 106.52 106.63 108.08 107.94 104.42
[4945] Eurozone CVI equally weighted  33.08 32.59 33.69 33.20 33.71 33.79 32.63
[4929] Germany CVI value weighted  10.03 9.92 10.45 10.26 10.41 10.60 10.15
[4931] Germany CVI tail  94.93 91.77 98.51 93.61 101.98 97.48 95.99
[4933] Germany CVI equally weighted  35.59 35.01 37.21 36.78 38.27 37.76 36.23
[4589] France CVI value weighted  12.15 11.85 12.58 12.46 12.41 12.68 12.60
[4925] France CVI tail  90.84 87.23 87.61 94.11 90.82 88.29 89.83
[4927] France CVI equally weighted  27.52 26.79 27.67 27.18 27.06 27.40 27.33
[4935] UK CVI value weighted  23.91 23.21 23.96 24.00 24.03 24.39 24.09
[4937] UK CVI tail  217.01 212.03 210.74 217.24 213.97 223.39 219.24
[4939] UK CVI equally weighted  63.15 62.40 65.30 64.84 65.60 65.39 63.07
[8659] Denmark CVI value weighted  10.54 10.48 10.76 10.88 10.91 10.86 10.77
[8663] Denmark CVI tail  123.07 116.33 119.64 125.58 123.66 127.87 121.47
[8661] Denmark CVI equally weighted  34.13 34.31 34.14 34.27 34.22 34.50 34.42
[8665] Norway CVI value weighted  39.40 38.66 39.05 40.62 40.42 40.95 39.72
[8667] Norway CVI tail  494.43 481.35 483.56 553.62 527.62 576.92 586.20
[8669] Norway CVI equally weighted  133.32 133.77 134.61 138.34 138.58 138.15 136.15
[8671] Sweden CVI value weighted  10.65 10.59 10.86 11.00 11.00 10.97 10.86
[8673] Sweden CVI tail  118.21 120.81 129.09 127.16 137.27 131.43 132.43
[8675] Sweden CVI equally weighted  34.71 35.07 35.65 36.09 36.32 36.06 37.53
[10143] Turkey CVI value weighted  48.43 47.00 48.64 45.84 46.66 47.37 48.00
[10145] Turkey CVI tail  97.84 96.38 98.36 92.00 93.58 100.20 103.19
[10147] Turkey CVI equally weighted  33.71 33.52 35.02 33.67 34.75 35.32 35.68
[10149] Switzerland CVI value weighted  7.64 7.46 7.66 7.64 7.69 7.69 7.69
[10151] Switzerland CVI tail  102.45 125.89 120.68 129.57 123.15 114.63 104.91
[10153] Switzerland CVI equally weighted  28.42 28.98 28.50 29.34 28.76 29.10 29.17
[10161] Greece CVI value weighted  32.62 32.13 33.64 33.84 34.31 34.60 30.06
[10163] Greece CVI tail  305.57 305.57 286.99 286.74 287.76 290.53 270.34
[10165] Greece CVI equally weighted  80.23 79.58 79.60 79.20 79.94 82.30 75.13
[10167] Finland CVI value weighted  11.23 11.07 11.32 11.14 11.12 11.24 11.12
[10169] Finland CVI tail  67.20 68.05 68.42 63.27 63.55 64.53 62.21
[10171] Finland CVI equally weighted  18.64 18.36 18.53 18.19 18.59 19.40 19.20
RMI CVI - Special Portfolios
[4947] S&P 500 CVI value weighted  8.73 8.73 8.79 8.73 8.87 9.22 8.73
[4949] S&P 500 CVI tail  123.49 123.49 122.75 118.85 119.36 128.70 126.32
[4951] S&P 500 CVI equally weighted  25.48 25.48 25.79 25.09 25.20 26.97 25.55
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