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: 03/23/2017 03/22/2017 03/21/2017 03/20/2017 03/17/2017 03/16/2017 03/15/2017
RMI CVI - Middle East
Israel CVI value weighted  9.56 9.65 9.62 9.52 9.57 9.59 9.42
Israel CVI tail  109.52 111.22 106.10 95.19 95.65 95.87 95.91
Israel CVI equally weighted  23.72 23.43 23.30 23.26 23.30 23.34 23.02
RMI CVI - North America
US CVI value weighted  5.68 5.69 5.65 5.48 5.44 5.43 5.49
US CVI tail  219.01 230.46 230.52 220.01 213.77 220.20 226.36
US CVI equally weighted  55.24 54.98 54.00 52.19 51.80 51.39 51.78
Canada CVI value weighted  7.88 7.84 7.78 7.72 7.65 7.65 7.70
Canada CVI tail  319.04 320.91 297.96 308.73 292.73 310.44 295.59
Canada CVI equally weighted  84.02 77.53 80.21 81.79 74.88 79.49 74.50
RMI CVI - Europe
Eurozone CVI value weighted  7.54 7.72 7.73 7.69 7.63 7.70 7.82
Eurozone CVI tail  91.80 91.94 90.57 92.94 93.26 94.48 93.03
Eurozone CVI equally weighted  28.88 28.97 28.54 28.74 29.28 29.32 29.96
Germany CVI value weighted  5.15 5.19 5.19 5.11 5.07 5.12 5.21
Germany CVI tail  98.11 96.65 98.20 100.32 100.68 98.58 101.76
Germany CVI equally weighted  31.99 31.53 31.95 32.51 36.01 35.88 36.34
France CVI value weighted  6.72 7.14 7.20 7.21 7.15 7.19 7.26
France CVI tail  62.50 60.74 61.72 62.93 62.10 62.36 62.64
France CVI equally weighted  14.53 14.44 14.58 14.69 14.78 14.71 14.24
UK CVI value weighted  12.79 12.88 12.67 12.54 12.54 12.58 12.66
UK CVI tail  141.96 140.63 144.30 143.54 142.91 144.67 138.42
UK CVI equally weighted  34.12 33.92 33.51 33.51 33.42 33.57 33.40
Denmark CVI value weighted  12.05 12.16 11.98 11.74 11.77 11.82 11.93
Denmark CVI tail  109.26 124.73 124.58 118.48 118.34 110.94 116.77
Denmark CVI equally weighted  30.00 31.40 30.95 30.07 29.70 29.98 30.21
Norway CVI value weighted  16.82 16.86 16.48 16.48 16.36 16.35 16.52
Norway CVI tail  149.56 154.77 166.98 147.89 148.45 146.69 148.98
Norway CVI equally weighted  39.44 40.52 39.87 39.03 39.09 39.47 39.86
Sweden CVI value weighted  6.45 6.59 6.49 6.38 6.35 6.26 6.35
Sweden CVI tail  80.89 85.08 87.06 83.82 82.43 86.26 92.03
Sweden CVI equally weighted  24.48 24.75 24.33 23.63 26.07 26.70 26.42
Turkey CVI value weighted  29.58 29.99 30.13 29.80 29.57 28.85 29.10
Turkey CVI tail  119.07 121.07 124.10 123.84 121.92 120.25 127.45
Turkey CVI equally weighted  36.77 37.46 37.88 37.82 37.45 36.75 36.55
Switzerland CVI value weighted  4.69 4.67 4.61 4.50 4.51 4.53 4.55
Switzerland CVI tail  91.69 82.87 84.70 79.50 82.37 95.52 97.26
Switzerland CVI equally weighted  33.04 31.06 33.68 32.67 32.60 33.53 36.29
Greece CVI value weighted  37.45 37.71 37.06 36.61 36.78 38.00 40.22
Greece CVI tail  288.88 290.08 313.18 318.80 292.29 293.70 314.63
Greece CVI equally weighted  95.95 98.39 90.21 89.08 88.32 88.45 95.07
Finland CVI value weighted  3.24 3.32 3.29 3.20 3.22 3.23 3.28
Finland CVI tail  44.11 44.61 44.11 44.02 44.22 44.37 44.69
Finland CVI equally weighted  13.11 13.36 12.98 12.49 12.60 12.57 12.93
RMI CVI - Asia
Malaysia CVI value weighted  11.85 11.85 11.79 11.82 11.62 11.73 11.95
Malaysia CVI tail  159.56 157.72 154.93 158.72 157.12 170.96 165.42
Malaysia CVI equally weighted  44.60 45.11 43.49 43.81 43.87 44.33 44.63
Philippines CVI value weighted  10.28 10.33 10.21 10.19 10.10 10.12 10.21
Philippines CVI tail  82.01 83.22 81.39 81.40 85.54 83.83 85.73
Philippines CVI equally weighted  19.71 19.77 19.60 19.65 19.57 19.41 19.59
Thailand CVI value weighted  9.40 9.39 9.34 9.33 9.34 9.34 9.53
Thailand CVI tail  42.18 42.82 42.75 42.88 41.79 44.24 46.07
Thailand CVI equally weighted  11.20 11.24 11.22 11.33 11.57 11.48 11.66
Vietnam CVI value weighted  24.68 25.05 25.04 25.53 25.89 25.99 26.08
Vietnam CVI tail  201.67 199.47 196.17 203.45 209.24 200.82 199.73
Vietnam CVI equally weighted  51.49 51.39 51.35 52.05 51.88 52.86 52.63
Indonesia CVI value weighted  30.93 31.21 31.32 31.34 31.50 31.66 32.59
Indonesia CVI tail  124.78 126.81 125.58 126.72 129.51 127.24 128.75
Indonesia CVI equally weighted  34.78 35.55 35.87 35.70 36.24 35.94 36.07
China CVI value weighted  31.24 31.39 31.24 31.24 31.44 31.37 31.59
China CVI tail  196.57 196.16 195.51 195.69 195.67 197.31 197.44
China CVI equally weighted  64.04 63.81 63.59 63.58 64.70 65.05 65.33
Japan CVI value weighted  6.11 6.07 5.73 5.71 5.71 5.68 5.69
Japan CVI tail  19.46 19.25 18.25 18.45 18.45 18.46 18.63
Japan CVI equally weighted  5.41 5.33 5.13 5.14 5.14 5.16 5.19
Singapore CVI value weighted  6.28 6.30 6.17 6.15 6.32 6.26 6.35
Singapore CVI tail  169.89 174.98 171.21 161.70 176.58 170.48 165.89
Singapore CVI equally weighted  41.24 42.81 41.61 40.74 48.80 46.38 46.74
Australia CVI value weighted  3.25 3.27 3.14 3.11 3.10 3.10 3.11
Australia CVI tail  58.99 61.35 60.40 62.82 63.69 60.44 61.89
Australia CVI equally weighted  15.40 15.23 15.15 15.98 15.88 16.23 16.02
Taiwan CVI value weighted  1.71 1.73 1.72 1.73 1.72 1.75 1.76
Taiwan CVI tail  11.70 11.74 12.28 11.84 11.83 12.28 12.17
Taiwan CVI equally weighted  3.20 3.23 3.24 3.22 3.24 3.28 3.26
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  3.48 3.47 3.46 3.34 3.36 3.34 3.37
S&P 500 CVI tail  37.50 37.33 37.24 36.18 35.96 35.81 34.92
S&P 500 CVI equally weighted  9.54 9.62 9.46 9.18 9.61 9.62 9.81
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