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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: 01/28/2020 01/27/2020 01/24/2020 01/23/2020 01/22/2020 01/21/2020 01/20/2020
RMI CVI - North America
[4587] US CVI value weighted  5.56 5.59 5.45 5.34 5.39 5.27 5.22
[4899] US CVI tail  325.60 325.77 317.40 311.32 311.20 300.96 295.83
[4901] US CVI equally weighted  80.75 80.85 79.35 77.06 76.54 74.54 74.94
[4903] Canada CVI value weighted  6.72 6.82 6.96 6.83 6.74 6.70 6.61
[4905] Canada CVI tail  623.25 604.75 617.17 584.70 619.20 636.19 634.82
[4907] Canada CVI equally weighted  144.67 141.45 140.74 143.51 142.23 145.46 146.00
RMI CVI - Asia
[8985] Malaysia CVI value weighted  12.90 12.42 12.42 12.30 12.23 12.21 12.04
[8987] Malaysia CVI tail  195.77 182.49 182.49 184.99 187.08 189.84 179.37
[8989] Malaysia CVI equally weighted  51.72 49.21 49.21 49.66 48.51 51.36 50.28
[8991] Philippines CVI value weighted  11.76 11.56 11.34 11.46 11.83 11.84 11.54
[8993] Philippines CVI tail  99.62 101.77 99.58 94.89 102.40 102.30 98.68
[8995] Philippines CVI equally weighted  19.45 19.34 18.83 19.12 19.52 19.65 19.31
[8997] Thailand CVI value weighted  7.63 7.46 6.96 6.89 6.81 6.76 6.60
[8999] Thailand CVI tail  95.25 94.64 91.39 92.90 88.18 91.84 87.58
[9001] Thailand CVI equally weighted  25.19 24.72 23.36 22.88 22.79 22.59 22.51
[9003] Vietnam CVI value weighted  11.08 11.08 11.08 11.08 11.08 10.97 11.23
[9005] Vietnam CVI tail  221.42 221.42 221.42 221.42 221.42 228.17 224.26
[9007] Vietnam CVI equally weighted  64.62 64.62 64.62 64.62 64.62 64.87 65.70
[10173] Indonesia CVI value weighted  30.10 30.27 28.35 28.27 28.70 28.81 28.35
[10175] Indonesia CVI tail  195.95 186.75 184.79 185.31 186.61 187.13 184.77
[10177] Indonesia CVI equally weighted  47.92 48.11 46.07 45.86 46.39 45.94 45.17
[4591] China CVI value weighted  29.41 29.48 29.39 29.29 28.45 28.67 28.04
[4909] China CVI tail  270.09 270.30 270.30 270.10 260.66 255.21 257.73
[4911] China CVI equally weighted  86.08 86.14 86.23 86.12 84.08 83.51 83.30
[4913] Japan CVI value weighted  7.52 7.54 7.23 7.14 7.06 7.11 7.05
[4915] Japan CVI tail  20.28 20.41 19.40 19.05 18.62 18.55 18.85
[4917] Japan CVI equally weighted  5.28 5.32 5.09 4.98 4.92 4.94 4.95
[4919] Singapore CVI value weighted  9.97 9.44 9.37 9.43 9.36 9.48 9.36
[4921] Singapore CVI tail  142.54 132.18 132.22 143.20 138.71 136.30 145.20
[4923] Singapore CVI equally weighted  37.66 33.32 32.84 34.90 34.40 33.94 34.06
[8683] Australia CVI value weighted  6.92 6.53 6.53 6.60 6.45 6.58 6.51
[8685] Australia CVI tail  202.66 193.04 193.18 194.47 194.01 200.91 200.36
[8687] Australia CVI equally weighted  50.40 46.55 46.46 46.73 46.14 47.41 46.58
[8681] Taiwan CVI value weighted  1.20 1.20 1.20 1.20 1.20 1.20 1.20
[8679] Taiwan CVI tail  10.05 10.05 10.05 10.05 10.05 10.05 10.11
[8677] Taiwan CVI equally weighted  2.40 2.41 2.39 2.40 2.39 2.36 2.41
RMI CVI - Middle East
[10155] Israel CVI value weighted  6.03 6.12 5.67 5.67 5.68 5.76 5.81
[10157] Israel CVI tail  89.42 85.35 90.09 90.09 91.22 91.90 91.31
[10159] Israel CVI equally weighted  24.63 24.83 24.16 23.97 24.14 23.65 23.90
RMI CVI - Europe
[4941] Eurozone CVI value weighted  5.30 5.40 5.12 5.14 5.05 5.02 4.96
[4943] Eurozone CVI tail  80.71 79.74 76.21 77.09 77.94 75.71 75.87
[4945] Eurozone CVI equally weighted  26.62 26.66 25.43 25.40 25.09 24.72 24.26
[4929] Germany CVI value weighted  5.44 5.55 5.22 5.22 5.15 5.12 5.06
[4931] Germany CVI tail  99.10 99.46 97.12 91.85 91.44 94.68 93.76
[4933] Germany CVI equally weighted  29.65 30.26 27.97 28.59 28.64 28.48 28.07
[4589] France CVI value weighted  5.16 5.29 4.97 4.99 4.89 4.85 4.76
[4925] France CVI tail  71.82 63.36 65.51 67.43 68.54 63.67 60.27
[4927] France CVI equally weighted  20.48 20.58 19.91 19.68 19.26 19.10 18.40
[4935] UK CVI value weighted  8.96 9.14 8.63 8.81 8.67 8.61 8.54
[4937] UK CVI tail  147.16 156.10 150.67 152.07 148.40 148.69 151.59
[4939] UK CVI equally weighted  44.87 44.36 42.55 42.80 41.97 42.07 41.98
[8659] Denmark CVI value weighted  7.37 7.52 7.06 7.26 7.22 7.25 7.21
[8663] Denmark CVI tail  111.60 117.18 114.99 119.88 116.71 112.00 110.08
[8661] Denmark CVI equally weighted  30.31 30.70 29.84 31.05 31.39 31.80 31.42
[8665] Norway CVI value weighted  14.89 15.18 14.22 14.44 14.02 14.10 13.76
[8667] Norway CVI tail  376.55 380.97 349.41 339.78 311.31 327.56 288.02
[8669] Norway CVI equally weighted  76.19 77.31 72.08 73.39 71.42 71.60 68.97
[8671] Sweden CVI value weighted  3.96 4.07 3.81 3.90 3.81 3.76 3.77
[8673] Sweden CVI tail  105.02 101.97 94.22 99.60 105.29 111.35 104.21
[8675] Sweden CVI equally weighted  29.30 28.65 28.23 27.16 28.32 27.69 28.36
[10143] Turkey CVI value weighted  23.95 23.75 23.75 22.86 21.78 20.53 21.51
[10145] Turkey CVI tail  78.56 82.59 83.06 84.02 80.90 78.08 78.40
[10147] Turkey CVI equally weighted  22.37 22.73 22.87 22.86 23.14 22.81 23.48
[10149] Switzerland CVI value weighted  3.97 4.08 3.91 3.94 3.86 3.85 3.87
[10151] Switzerland CVI tail  104.26 106.25 101.12 107.05 98.62 97.91 99.02
[10153] Switzerland CVI equally weighted  29.92 30.15 29.55 29.80 28.97 28.02 29.20
[10161] Greece CVI value weighted  10.06 9.88 9.46 9.48 9.30 9.12 8.94
[10163] Greece CVI tail  214.01 208.07 207.92 197.96 196.11 191.67 189.93
[10165] Greece CVI equally weighted  58.51 58.27 55.21 54.62 53.56 52.22 50.39
[10167] Finland CVI value weighted  4.94 5.17 4.90 4.93 4.82 4.82 4.70
[10169] Finland CVI tail  60.94 62.74 59.25 58.82 55.98 56.48 53.38
[10171] Finland CVI equally weighted  13.86 14.25 13.60 13.62 13.35 13.56 13.35
RMI CVI - Special Portfolios
[4947] S&P 500 CVI value weighted  2.56 2.58 2.50 2.44 2.46 2.40 2.36
[4949] S&P 500 CVI tail  32.50 30.52 31.51 31.25 30.02 30.07 28.95
[4951] S&P 500 CVI equally weighted  7.75 7.80 7.46 7.11 7.25 7.05 6.91
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