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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: 07/13/2018 07/12/2018 07/11/2018 07/10/2018 07/09/2018 07/06/2018 07/05/2018
RMI CVI - Middle East
Israel CVI value weighted  9.29 9.26 9.39 9.32 9.43 11.20 11.27
Israel CVI tail  91.20 94.87 89.84 89.92 95.02 105.84 104.38
Israel CVI equally weighted  29.39 28.71 28.52 27.30 28.13 31.43 32.11
RMI CVI - North America
US CVI value weighted  4.18 4.16 4.20 4.12 4.10 4.22 4.23
US CVI tail  170.26 168.01 171.53 171.46 166.08 169.21 173.46
US CVI equally weighted  42.32 42.04 42.35 41.54 42.73 44.17 45.03
Canada CVI value weighted  4.46 4.45 4.55 4.46 4.52 4.91 4.93
Canada CVI tail  318.48 328.35 324.67 354.94 339.67 336.87 339.77
Canada CVI equally weighted  74.23 74.69 76.37 77.00 75.47 76.33 77.74
RMI CVI - Europe
Eurozone CVI value weighted  6.06 6.06 6.11 5.89 5.93 5.92 6.00
Eurozone CVI tail  126.81 127.87 129.35 127.82 125.25 128.28 124.69
Eurozone CVI equally weighted  33.36 33.29 33.06 32.44 32.65 33.59 33.59
Germany CVI value weighted  5.80 5.84 5.89 5.66 5.69 5.63 5.68
Germany CVI tail  125.93 125.99 125.32 120.15 120.04 123.05 120.90
Germany CVI equally weighted  36.37 37.52 37.09 37.02 37.56 38.80 38.43
France CVI value weighted  5.79 5.80 5.84 5.61 5.73 5.70 5.77
France CVI tail  96.40 96.84 97.16 96.08 93.61 95.10 93.47
France CVI equally weighted  24.02 23.78 23.55 23.27 22.88 23.44 23.31
UK CVI value weighted  11.37 11.40 11.54 11.26 11.31 10.66 10.69
UK CVI tail  153.93 152.93 151.67 151.07 148.15 146.99 146.62
UK CVI equally weighted  43.57 43.55 43.47 43.37 43.66 43.30 43.39
Denmark CVI value weighted  4.45 4.51 4.64 4.57 4.63 4.61 4.68
Denmark CVI tail  68.06 71.69 72.93 72.99 71.27 67.07 65.12
Denmark CVI equally weighted  21.81 22.43 21.85 21.68 21.99 21.06 20.95
Norway CVI value weighted  7.72 7.30 6.80 6.54 6.67 6.69 6.51
Norway CVI tail  125.64 114.84 110.08 109.55 108.18 117.86 119.60
Norway CVI equally weighted  53.02 51.56 47.78 34.53 35.29 37.96 37.41
Sweden CVI value weighted  5.75 5.76 5.78 5.60 5.68 5.71 5.78
Sweden CVI tail  181.34 183.66 186.75 184.66 177.15 184.68 184.12
Sweden CVI equally weighted  43.88 44.25 43.70 43.65 43.05 42.78 43.51
Turkey CVI value weighted  139.07 138.87 132.05 110.07 93.47 114.47 112.70
Turkey CVI tail  265.68 279.14 265.89 227.27 196.65 230.79 229.97
Turkey CVI equally weighted  91.18 92.20 89.07 75.19 65.48 73.82 73.13
Switzerland CVI value weighted  5.63 5.60 5.67 5.52 5.67 5.06 5.08
Switzerland CVI tail  114.22 127.38 125.76 120.91 119.82 101.55 110.30
Switzerland CVI equally weighted  32.36 39.74 36.81 38.32 38.94 35.56 35.10
Greece CVI value weighted  28.35 28.47 28.69 27.81 27.90 27.07 26.90
Greece CVI tail  482.33 483.28 488.69 474.84 478.29 484.53 496.75
Greece CVI equally weighted  121.81 122.60 120.32 116.86 117.14 117.77 118.73
Finland CVI value weighted  3.89 3.80 3.79 3.66 3.76 3.93 4.00
Finland CVI tail  72.81 74.03 69.98 69.64 70.60 71.87 78.16
Finland CVI equally weighted  18.81 18.91 18.86 18.65 19.08 19.04 21.64
RMI CVI - Asia
Malaysia CVI value weighted  10.22 10.42 10.62 10.55 10.75 10.73 10.48
Malaysia CVI tail  191.52 192.46 202.81 200.05 200.43 200.31 206.96
Malaysia CVI equally weighted  58.14 58.82 59.80 59.36 60.10 61.26 60.79
Philippines CVI value weighted  13.72 13.85 13.93 14.11 14.62 14.45 14.33
Philippines CVI tail  103.69 100.45 99.17 100.06 101.72 106.92 105.14
Philippines CVI equally weighted  23.84 23.94 24.03 23.88 23.98 24.94 24.57
Thailand CVI value weighted  5.34 5.35 5.41 5.34 5.49 5.47 5.59
Thailand CVI tail  82.86 82.63 84.44 84.54 86.62 94.43 95.56
Thailand CVI equally weighted  19.88 19.78 19.65 20.13 20.53 21.20 21.83
Vietnam CVI value weighted  22.21 23.31 23.53 22.58 22.75 21.89 23.40
Vietnam CVI tail  242.16 235.21 235.69 233.59 233.85 240.30 249.60
Vietnam CVI equally weighted  74.53 73.37 72.55 70.98 71.77 73.56 74.79
Indonesia CVI value weighted  29.08 29.30 29.34 29.23 29.96 30.38 30.01
Indonesia CVI tail  179.02 190.30 195.45 193.72 200.63 221.28 212.81
Indonesia CVI equally weighted  55.36 55.66 55.68 56.29 56.83 60.74 60.38
China CVI value weighted  26.51 26.46 27.14 26.48 26.47 26.87 27.18
China CVI tail  202.50 204.85 207.65 202.88 202.58 206.05 207.16
China CVI equally weighted  61.18 61.48 62.63 61.37 61.51 62.06 62.21
Japan CVI value weighted  3.54 3.62 3.64 3.56 3.59 3.65 3.75
Japan CVI tail  21.67 21.98 22.02 21.47 21.51 21.78 22.70
Japan CVI equally weighted  5.31 5.35 5.33 5.22 5.23 5.28 5.48
Singapore CVI value weighted  6.49 6.50 6.56 6.44 6.55 6.70 6.34
Singapore CVI tail  184.71 173.94 176.30 185.27 171.47 173.50 163.33
Singapore CVI equally weighted  47.56 43.05 43.28 44.21 42.83 44.22 41.90
Australia CVI value weighted  4.52 4.49 4.55 4.44 4.38 4.53 4.63
Australia CVI tail  131.96 132.41 133.68 126.85 132.03 135.80 135.55
Australia CVI equally weighted  31.48 31.49 31.91 30.16 30.22 31.99 32.11
Taiwan CVI value weighted  1.20 1.23 1.24 1.22 1.22 1.22 1.22
Taiwan CVI tail  9.84 10.07 9.69 10.27 10.45 9.83 9.85
Taiwan CVI equally weighted  2.62 2.61 2.59 2.54 2.52 2.46 2.44
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  2.48 2.45 2.48 2.42 2.43 2.53 2.54
S&P 500 CVI tail  25.89 25.35 25.62 24.04 24.74 25.43 24.88
S&P 500 CVI equally weighted  5.21 5.23 5.25 5.09 5.06 5.33 5.38
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