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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: 04/23/2018 04/20/2018 04/19/2018 04/18/2018 04/17/2018 04/16/2018 04/13/2018
RMI CVI - Middle East
Israel CVI value weighted  11.71 11.90 11.91 11.89 11.88 11.95 11.99
Israel CVI tail  88.73 95.60 96.01 95.60 95.01 93.61 92.11
Israel CVI equally weighted  30.34 30.42 30.67 30.45 30.35 29.62 30.04
RMI CVI - North America
US CVI value weighted  3.77 3.75 3.87 3.88 3.87 3.91 3.64
US CVI tail  140.30 136.10 137.02 141.03 138.82 139.10 136.72
US CVI equally weighted  37.70 36.65 36.35 34.73 35.06 35.92 35.54
Canada CVI value weighted  5.82 5.82 5.73 5.69 5.70 5.83 6.33
Canada CVI tail  223.48 222.19 227.84 228.34 225.75 248.15 229.59
Canada CVI equally weighted  55.51 54.73 55.77 55.44 55.52 57.09 58.87
RMI CVI - Europe
Eurozone CVI value weighted  6.72 6.77 6.76 6.79 6.91 7.10 6.30
Eurozone CVI tail  90.87 90.77 91.06 90.10 93.25 95.23 89.10
Eurozone CVI equally weighted  26.96 27.80 27.19 27.55 28.30 29.61 27.17
Germany CVI value weighted  5.90 5.88 5.85 5.89 5.90 6.14 5.35
Germany CVI tail  132.10 124.58 126.00 137.67 137.41 140.68 132.63
Germany CVI equally weighted  36.90 38.00 36.04 36.91 38.08 38.59 35.98
France CVI value weighted  6.55 6.64 6.61 6.65 6.80 6.95 6.39
France CVI tail  52.82 54.22 53.06 52.81 52.98 54.16 53.68
France CVI equally weighted  17.43 17.77 17.22 17.34 18.13 18.41 18.11
UK CVI value weighted  11.41 11.55 11.58 11.61 11.86 11.95 10.92
UK CVI tail  136.17 142.02 147.20 158.00 157.72 154.92 150.54
UK CVI equally weighted  42.94 43.77 42.47 43.17 43.40 43.58 42.61
Denmark CVI value weighted  7.54 7.68 7.54 7.47 7.62 7.70 7.56
Denmark CVI tail  109.46 110.93 112.60 111.68 115.41 110.98 108.47
Denmark CVI equally weighted  31.10 30.94 31.10 30.16 31.49 31.54 31.87
Norway CVI value weighted  18.16 18.53 18.31 18.58 19.66 19.68 19.37
Norway CVI tail  178.20 183.31 180.70 184.24 201.77 197.51 201.97
Norway CVI equally weighted  62.18 62.67 61.36 63.28 68.44 71.18 73.01
Sweden CVI value weighted  6.65 6.78 6.90 6.99 7.13 7.41 7.15
Sweden CVI tail  157.41 156.98 162.91 162.07 162.42 163.64 162.47
Sweden CVI equally weighted  42.35 43.20 43.94 42.90 44.89 43.59 42.81
Turkey CVI value weighted  39.42 39.42 37.87 37.88 43.15 41.03 39.36
Turkey CVI tail  129.98 129.98 127.33 130.86 143.87 132.94 143.16
Turkey CVI equally weighted  44.15 44.16 42.81 43.23 48.15 45.61 45.30
Switzerland CVI value weighted  4.55 4.47 4.45 4.44 4.56 4.66 5.25
Switzerland CVI tail  76.28 66.02 64.44 65.33 66.56 68.36 64.40
Switzerland CVI equally weighted  24.87 23.99 23.86 24.68 25.11 25.80 22.20
Greece CVI value weighted  17.68 17.54 17.67 17.98 18.64 19.46 18.47
Greece CVI tail  230.76 186.82 220.24 221.99 232.02 229.46 222.71
Greece CVI equally weighted  53.47 51.84 54.13 55.06 57.85 58.14 56.59
Finland CVI value weighted  4.63 4.68 4.56 4.65 4.74 4.93 4.77
Finland CVI tail  46.36 44.55 49.64 48.44 48.26 49.26 45.91
Finland CVI equally weighted  14.69 14.46 15.11 14.53 14.81 14.75 14.10
RMI CVI - Asia
Malaysia CVI value weighted  10.68 10.49 10.32 10.49 10.43 10.37 10.27
Malaysia CVI tail  225.65 220.96 207.89 214.68 212.22 210.90 191.57
Malaysia CVI equally weighted  69.92 68.48 68.30 68.64 68.10 68.75 66.44
Philippines CVI value weighted  14.71 14.53 14.44 14.15 14.35 13.77 13.75
Philippines CVI tail  104.71 94.98 92.75 90.23 88.16 88.85 91.65
Philippines CVI equally weighted  25.67 25.33 24.96 24.21 24.34 23.62 22.79
Thailand CVI value weighted  4.77 4.67 4.65 4.76 4.86 4.75 4.74
Thailand CVI tail  60.91 60.13 61.86 61.17 66.56 66.31 66.31
Thailand CVI equally weighted  16.73 16.71 16.71 17.08 16.89 17.47 17.47
Vietnam CVI value weighted  18.34 16.65 17.56 16.14 15.57 15.97 15.39
Vietnam CVI tail  182.03 178.95 174.57 171.90 179.69 180.97 178.88
Vietnam CVI equally weighted  54.84 54.53 54.44 52.97 52.69 52.89 52.51
Indonesia CVI value weighted  23.68 23.19 23.06 23.21 23.60 23.65 23.33
Indonesia CVI tail  113.87 113.16 111.59 110.17 108.99 111.85 115.49
Indonesia CVI equally weighted  32.21 31.76 31.60 31.86 32.04 32.22 33.14
China CVI value weighted  29.91 29.59 29.01 29.32 29.43 28.94 28.78
China CVI tail  229.05 228.54 223.27 222.20 222.25 218.61 227.92
China CVI equally weighted  62.10 61.44 60.51 60.39 60.14 59.15 59.82
Japan CVI value weighted  4.47 4.44 4.48 4.47 4.55 4.47 4.33
Japan CVI tail  16.82 16.70 17.02 16.85 17.04 16.58 16.70
Japan CVI equally weighted  4.10 4.08 4.12 4.11 4.18 4.09 3.93
Singapore CVI value weighted  7.61 7.49 7.34 7.55 7.88 7.99 5.80
Singapore CVI tail  193.41 187.28 208.94 194.20 187.02 197.31 192.29
Singapore CVI equally weighted  43.22 42.69 43.89 43.10 42.94 42.50 40.56
Australia CVI value weighted  4.20 4.20 4.11 4.19 4.23 4.19 3.93
Australia CVI tail  82.73 81.47 81.60 85.95 86.35 82.37 78.82
Australia CVI equally weighted  18.56 18.03 17.98 18.70 18.30 17.94 17.65
Taiwan CVI value weighted  2.22 2.15 2.07 2.15 2.16 2.08 2.11
Taiwan CVI tail  12.62 12.38 12.46 12.72 12.85 12.38 13.77
Taiwan CVI equally weighted  3.11 3.03 3.00 3.06 3.09 2.98 3.08
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  2.07 2.05 2.16 2.19 2.16 2.19 1.96
S&P 500 CVI tail  18.94 19.29 19.78 19.70 19.72 19.89 19.06
S&P 500 CVI equally weighted  5.35 5.36 5.38 5.26 5.28 5.33 5.17
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