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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: 07/15/2019 07/12/2019 07/11/2019 07/10/2019 07/09/2019 07/08/2019 07/05/2019
RMI CVI - North America
[4587] US CVI value weighted  6.88 6.81 6.92 6.88 6.93 6.92 6.93
[4899] US CVI tail  319.26 315.75 319.64 308.33 319.00 312.81 318.00
[4901] US CVI equally weighted  70.55 69.13 70.05 69.58 70.78 70.04 72.49
[4903] Canada CVI value weighted  6.60 6.57 6.57 6.49 6.55 6.51 6.70
[4905] Canada CVI tail  366.42 356.53 364.21 353.58 356.36 366.62 371.53
[4907] Canada CVI equally weighted  84.66 83.07 84.08 82.28 80.32 79.66 83.04
RMI CVI - Asia
[8985] Malaysia CVI value weighted  11.38 11.16 11.12 11.19 11.18 11.16 11.46
[8987] Malaysia CVI tail  203.73 200.69 195.66 198.92 205.67 200.12 203.38
[8989] Malaysia CVI equally weighted  52.95 52.41 52.22 53.91 54.44 53.86 53.85
[8991] Philippines CVI value weighted  10.03 10.08 10.02 10.16 10.22 10.65 10.66
[8993] Philippines CVI tail  71.12 68.92 67.99 66.30 64.12 67.08 70.06
[8995] Philippines CVI equally weighted  15.17 14.86 14.90 15.03 14.94 15.42 15.32
[8997] Thailand CVI value weighted  5.61 5.57 5.48 5.54 5.66 5.54 5.72
[8999] Thailand CVI tail  74.72 75.11 74.05 73.30 74.39 74.54 76.04
[9001] Thailand CVI equally weighted  19.45 19.45 18.87 19.25 19.39 19.38 19.59
[9003] Vietnam CVI value weighted  14.10 14.24 14.23 14.56 14.44 14.53 14.90
[9005] Vietnam CVI tail  194.20 194.87 186.47 191.84 201.64 202.67 206.39
[9007] Vietnam CVI equally weighted  57.41 58.28 57.15 58.44 58.83 59.37 60.25
[10173] Indonesia CVI value weighted  27.16 27.21 27.08 27.27 27.53 27.51 28.03
[10175] Indonesia CVI tail  144.38 144.47 142.26 139.65 136.47 136.88 140.63
[10177] Indonesia CVI equally weighted  37.67 37.66 37.46 37.50 37.66 37.31 38.44
[4591] China CVI value weighted  30.09 30.06 30.26 30.20 30.25 30.28 30.52
[4909] China CVI tail  231.54 231.15 233.00 232.62 231.90 232.26 232.63
[4911] China CVI equally weighted  79.12 78.88 79.05 78.64 78.26 79.24 80.21
[4913] Japan CVI value weighted  6.86 6.86 6.83 7.02 6.99 6.92 6.39
[4915] Japan CVI tail  22.43 22.43 22.26 22.56 22.61 22.09 24.12
[4917] Japan CVI equally weighted  5.88 5.88 5.80 5.98 5.98 5.89 6.42
[4919] Singapore CVI value weighted  7.21 7.29 7.28 7.30 7.26 7.20 7.32
[4921] Singapore CVI tail  149.54 169.86 154.52 168.09 137.33 151.02 135.25
[4923] Singapore CVI equally weighted  32.01 36.19 34.31 35.35 33.20 34.26 30.61
[8683] Australia CVI value weighted  4.41 4.33 4.30 4.39 4.42 4.32 3.83
[8685] Australia CVI tail  179.47 169.36 172.37 178.59 171.29 180.17 154.90
[8687] Australia CVI equally weighted  44.01 41.70 44.28 45.33 45.07 47.97 40.12
[8681] Taiwan CVI value weighted  1.87 1.87 1.85 1.87 1.91 1.87 1.99
[8679] Taiwan CVI tail  14.01 14.14 13.57 13.48 13.54 13.70 14.10
[8677] Taiwan CVI equally weighted  2.98 3.01 2.97 2.96 2.99 2.98 3.14
RMI CVI - Middle East
[10155] Israel CVI value weighted  9.25 9.08 9.08 9.03 9.05 9.02 9.02
[10157] Israel CVI tail  88.04 90.59 90.04 87.94 87.46 87.24 85.89
[10159] Israel CVI equally weighted  42.10 42.01 41.72 42.10 41.64 43.23 43.65
RMI CVI - Europe
[4941] Eurozone CVI value weighted  5.96 5.99 5.98 6.00 6.00 5.91 5.98
[4943] Eurozone CVI tail  95.44 96.50 98.19 100.82 101.39 100.33 100.53
[4945] Eurozone CVI equally weighted  27.45 27.51 27.28 28.35 28.32 28.45 28.54
[4929] Germany CVI value weighted  7.58 7.72 7.66 7.66 7.58 7.46 7.48
[4931] Germany CVI tail  117.48 117.68 117.42 123.79 118.53 127.34 115.89
[4933] Germany CVI equally weighted  28.24 28.50 28.07 29.00 28.97 30.06 28.51
[4589] France CVI value weighted  5.02 5.00 5.04 5.03 5.03 4.96 5.04
[4925] France CVI tail  78.74 85.26 85.72 87.27 86.48 85.42 87.37
[4927] France CVI equally weighted  21.94 21.69 21.68 21.93 21.72 21.27 21.82
[4935] UK CVI value weighted  16.83 16.64 16.73 16.67 16.61 16.43 17.00
[4937] UK CVI tail  185.42 180.41 185.59 186.14 193.57 193.51 200.77
[4939] UK CVI equally weighted  50.91 50.57 48.85 48.95 48.96 48.45 49.09
[8659] Denmark CVI value weighted  9.72 9.87 9.60 9.49 9.45 9.27 9.30
[8663] Denmark CVI tail  120.12 124.21 124.67 129.73 126.59 125.44 124.30
[8661] Denmark CVI equally weighted  36.73 35.95 36.64 36.86 36.04 36.22 34.89
[8665] Norway CVI value weighted  12.55 12.51 12.56 12.73 12.81 12.33 12.93
[8667] Norway CVI tail  247.38 268.23 285.84 255.16 273.71 270.20 269.81
[8669] Norway CVI equally weighted  62.90 62.13 64.37 63.53 64.51 64.03 71.44
[8671] Sweden CVI value weighted  6.34 6.39 6.55 6.52 6.50 6.42 6.87
[8673] Sweden CVI tail  156.41 170.56 167.90 175.22 176.68 170.02 164.64
[8675] Sweden CVI equally weighted  41.39 42.78 43.46 43.90 44.44 43.35 42.95
[10143] Turkey CVI value weighted  39.05 39.05 36.62 38.69 41.97 39.80 39.12
[10145] Turkey CVI tail  131.13 131.13 126.20 130.56 144.50 134.98 131.06
[10147] Turkey CVI equally weighted  40.12 40.12 38.10 40.09 42.69 40.69 40.15
[10149] Switzerland CVI value weighted  5.03 5.08 5.03 4.97 4.98 4.95 5.19
[10151] Switzerland CVI tail  120.02 124.46 125.50 121.84 120.24 128.26 123.92
[10153] Switzerland CVI equally weighted  52.92 53.75 55.08 56.39 52.52 52.57 55.63
[10161] Greece CVI value weighted  13.61 13.42 13.23 13.37 13.86 13.19 12.83
[10163] Greece CVI tail  352.99 352.70 356.59 358.88 300.92 364.87 379.01
[10165] Greece CVI equally weighted  69.31 69.10 68.77 71.43 68.51 70.25 70.67
[10167] Finland CVI value weighted  5.37 5.43 5.45 5.46 5.45 5.29 5.32
[10169] Finland CVI tail  68.04 68.30 67.37 67.97 68.22 66.52 68.85
[10171] Finland CVI equally weighted  17.66 17.69 17.41 17.37 17.18 16.83 17.11
RMI CVI - Special Portfolios
[4947] S&P 500 CVI value weighted  3.96 3.92 3.99 4.02 4.04 4.05 4.19
[4949] S&P 500 CVI tail  47.38 46.55 48.03 48.39 47.37 47.19 47.46
[4951] S&P 500 CVI equally weighted  9.87 9.69 10.08 9.85 9.75 9.73 9.89
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