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: 03/22/2017 03/21/2017 03/20/2017 03/17/2017 03/16/2017 03/15/2017 03/14/2017
RMI CVI - Middle East
Israel CVI value weighted  9.65 9.62 9.52 9.57 9.59 9.42 9.51
Israel CVI tail  111.22 106.10 95.19 95.65 95.87 95.91 97.84
Israel CVI equally weighted  23.43 23.30 23.26 23.30 23.34 23.02 22.81
RMI CVI - North America
US CVI value weighted  5.69 5.65 5.48 5.44 5.43 5.49 5.54
US CVI tail  230.46 230.52 220.01 213.77 220.20 226.36 222.25
US CVI equally weighted  54.98 54.00 52.19 51.80 51.39 51.78 50.42
Canada CVI value weighted  7.84 7.78 7.72 7.65 7.65 7.70 7.84
Canada CVI tail  320.91 297.96 308.73 292.73 310.44 295.59 297.99
Canada CVI equally weighted  77.53 80.21 81.79 74.88 79.49 74.50 77.76
RMI CVI - Europe
Eurozone CVI value weighted  7.72 7.73 7.69 7.63 7.70 7.82 7.92
Eurozone CVI tail  91.94 90.57 92.94 93.26 94.48 93.03 95.26
Eurozone CVI equally weighted  28.97 28.54 28.74 29.28 29.32 29.96 30.34
Germany CVI value weighted  5.19 5.19 5.11 5.07 5.12 5.21 5.25
Germany CVI tail  96.65 98.20 100.32 100.68 98.58 101.76 103.82
Germany CVI equally weighted  31.53 31.95 32.51 36.01 35.88 36.34 36.88
France CVI value weighted  7.14 7.20 7.21 7.15 7.19 7.26 7.30
France CVI tail  60.74 61.72 62.93 62.10 62.36 62.64 59.40
France CVI equally weighted  14.44 14.58 14.69 14.78 14.71 14.24 14.70
UK CVI value weighted  12.88 12.67 12.54 12.54 12.58 12.66 12.80
UK CVI tail  140.63 144.30 143.54 142.91 144.67 138.42 145.27
UK CVI equally weighted  33.92 33.51 33.51 33.42 33.57 33.40 33.84
Denmark CVI value weighted  12.16 11.98 11.74 11.77 11.82 11.93 12.09
Denmark CVI tail  124.73 124.58 118.48 118.34 110.94 116.77 113.85
Denmark CVI equally weighted  31.40 30.95 30.07 29.70 29.98 30.21 30.49
Norway CVI value weighted  16.86 16.48 16.48 16.36 16.35 16.52 16.94
Norway CVI tail  154.77 166.98 147.89 148.45 146.69 148.98 162.34
Norway CVI equally weighted  40.52 39.87 39.03 39.09 39.47 39.86 72.22
Sweden CVI value weighted  6.59 6.49 6.38 6.35 6.26 6.35 6.41
Sweden CVI tail  85.08 87.06 83.82 82.43 86.26 92.03 89.58
Sweden CVI equally weighted  24.75 24.33 23.63 26.07 26.70 26.42 26.28
Turkey CVI value weighted  29.99 30.13 29.80 29.57 28.85 29.10 29.54
Turkey CVI tail  121.07 124.10 123.84 121.92 120.25 127.45 131.86
Turkey CVI equally weighted  37.46 37.88 37.82 37.45 36.75 36.55 37.79
Switzerland CVI value weighted  4.67 4.61 4.50 4.51 4.53 4.55 4.67
Switzerland CVI tail  82.87 84.70 79.50 82.37 95.52 97.26 99.76
Switzerland CVI equally weighted  31.06 33.68 32.67 32.60 33.53 36.29 33.22
Greece CVI value weighted  37.71 37.06 36.61 36.78 38.00 40.22 38.91
Greece CVI tail  290.08 313.18 318.80 292.29 293.70 314.63 301.65
Greece CVI equally weighted  98.39 90.21 89.08 88.32 88.45 95.07 93.07
Finland CVI value weighted  3.32 3.29 3.20 3.22 3.23 3.28 3.34
Finland CVI tail  44.61 44.11 44.02 44.22 44.37 44.69 42.63
Finland CVI equally weighted  13.36 12.98 12.49 12.60 12.57 12.93 12.38
RMI CVI - Asia
Malaysia CVI value weighted  11.85 11.79 11.82 11.62 11.73 11.95 11.89
Malaysia CVI tail  157.72 154.93 158.72 157.12 170.96 165.42 170.10
Malaysia CVI equally weighted  45.11 43.49 43.81 43.87 44.33 44.63 44.38
Philippines CVI value weighted  10.33 10.21 10.19 10.10 10.12 10.21 10.14
Philippines CVI tail  83.22 81.39 81.40 85.54 83.83 85.73 82.80
Philippines CVI equally weighted  19.77 19.60 19.65 19.57 19.41 19.59 19.51
Thailand CVI value weighted  9.39 9.34 9.33 9.34 9.34 9.53 9.53
Thailand CVI tail  42.82 42.75 42.88 41.79 44.24 46.07 46.10
Thailand CVI equally weighted  11.24 11.22 11.33 11.57 11.48 11.66 11.70
Vietnam CVI value weighted  25.05 25.04 25.53 25.89 25.99 26.08 26.19
Vietnam CVI tail  199.47 196.17 203.45 209.24 200.82 199.73 205.08
Vietnam CVI equally weighted  51.39 51.35 52.05 51.88 52.86 52.63 52.82
Indonesia CVI value weighted  31.21 31.32 31.34 31.50 31.66 32.59 32.80
Indonesia CVI tail  126.81 125.58 126.72 129.51 127.24 128.75 127.66
Indonesia CVI equally weighted  35.55 35.87 35.70 36.24 35.94 36.07 36.68
China CVI value weighted  31.39 31.24 31.24 31.44 31.37 31.59 31.60
China CVI tail  196.16 195.51 195.69 195.67 197.31 197.44 195.50
China CVI equally weighted  63.81 63.59 63.58 64.70 65.05 65.33 65.30
Japan CVI value weighted  6.07 5.73 5.71 5.71 5.68 5.69 5.52
Japan CVI tail  19.25 18.25 18.45 18.45 18.46 18.63 17.96
Japan CVI equally weighted  5.33 5.13 5.14 5.14 5.16 5.19 5.00
Singapore CVI value weighted  6.30 6.17 6.15 6.32 6.26 6.35 6.36
Singapore CVI tail  174.98 171.21 161.70 176.58 170.48 165.89 177.26
Singapore CVI equally weighted  42.81 41.61 40.74 48.80 46.38 46.74 47.47
Australia CVI value weighted  3.27 3.14 3.11 3.10 3.10 3.11 3.16
Australia CVI tail  61.35 60.40 62.82 63.69 60.44 61.89 62.63
Australia CVI equally weighted  15.23 15.15 15.98 15.88 16.23 16.02 16.10
Taiwan CVI value weighted  1.73 1.72 1.73 1.72 1.75 1.76 1.77
Taiwan CVI tail  11.74 12.28 11.84 11.83 12.28 12.17 11.85
Taiwan CVI equally weighted  3.23 3.24 3.22 3.24 3.28 3.26 3.27
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  3.47 3.46 3.34 3.36 3.34 3.37 3.39
S&P 500 CVI tail  37.33 37.24 36.18 35.96 35.81 34.92 35.40
S&P 500 CVI equally weighted  9.62 9.46 9.18 9.61 9.62 9.81 10.06
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