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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

News and documents

Risk Management Institute

Daily indices

Type: 11/13/2018 11/12/2018 11/09/2018 11/08/2018 11/07/2018 11/06/2018 11/05/2018
RMI CVI - Middle East
Israel CVI value weighted  7.19 7.18 7.48 7.46 7.61 7.89 8.06
Israel CVI tail  76.95 79.85 82.73 82.49 86.82 80.14 87.11
Israel CVI equally weighted  23.70 23.56 24.63 24.50 24.88 24.98 25.79
RMI CVI - North America
US CVI value weighted  6.80 6.79 6.30 6.06 6.00 6.08 6.12
US CVI tail  242.46 243.64 245.77 228.53 236.76 233.93 241.08
US CVI equally weighted  64.71 64.11 61.85 58.39 58.04 57.92 58.56
Canada CVI value weighted  4.85 4.70 4.72 4.66 4.41 4.44 4.42
Canada CVI tail  419.63 408.36 441.05 460.40 447.83 459.90 441.03
Canada CVI equally weighted  98.95 93.60 99.23 98.33 95.02 92.74 92.10
RMI CVI - Europe
Eurozone CVI value weighted  6.76 6.96 6.75 6.69 6.56 6.77 6.75
Eurozone CVI tail  142.06 146.15 144.52 143.81 142.06 146.09 144.52
Eurozone CVI equally weighted  35.52 35.88 35.36 35.58 35.19 34.75 35.74
Germany CVI value weighted  8.01 8.35 7.79 7.80 7.49 7.67 7.65
Germany CVI tail  130.90 125.16 133.52 129.69 123.43 121.14 120.72
Germany CVI equally weighted  36.65 36.37 35.85 36.66 36.02 33.37 35.43
France CVI value weighted  5.57 5.76 5.89 5.80 5.75 5.97 5.94
France CVI tail  106.69 113.93 116.39 104.86 109.24 108.70 108.49
France CVI equally weighted  27.94 28.45 28.91 28.83 28.61 28.92 28.37
UK CVI value weighted  18.94 19.24 17.82 17.43 15.28 15.56 15.35
UK CVI tail  196.40 202.91 192.88 191.87 205.52 211.18 201.63
UK CVI equally weighted  59.37 59.35 56.33 55.47 55.72 56.53 55.85
Denmark CVI value weighted  6.89 6.68 6.42 6.49 6.67 7.00 6.83
Denmark CVI tail  128.86 123.75 126.90 131.53   125.83 129.62
Denmark CVI equally weighted  34.14 32.51 33.16 32.20 33.34 32.58 31.23
Norway CVI value weighted  9.62 9.14 8.72 8.39 8.29 8.55 8.44
Norway CVI tail  183.47 169.54 184.64 175.40 175.76 163.22 173.72
Norway CVI equally weighted  88.78 84.90 86.03 86.43 86.30 83.09 76.82
Sweden CVI value weighted  6.07 6.09 5.80 5.66 5.66 5.77 5.72
Sweden CVI tail  166.89 170.22 174.31 190.23 179.05 169.81 163.23
Sweden CVI equally weighted  45.37 45.07 46.99 46.77 46.02 45.68 45.09
Turkey CVI value weighted  96.14 96.03 103.12 101.10 96.95 98.08 100.91
Turkey CVI tail  258.54 256.40 278.43 272.11 266.45 267.75 259.15
Turkey CVI equally weighted  80.27 78.83 85.09 84.67 81.41 83.60 82.78
Switzerland CVI value weighted  6.84 6.79 6.46 6.22 6.19 6.31 6.18
Switzerland CVI tail  118.54 116.26 114.36 116.03 112.14 127.42 122.26
Switzerland CVI equally weighted  35.16 34.51 35.61 33.58 32.32 32.40 30.38
Greece CVI value weighted  31.89 33.50 32.63 32.75 32.20 32.44 34.62
Greece CVI tail  361.61 380.45 385.56 398.21 397.33 373.65 379.62
Greece CVI equally weighted  106.85 111.06 112.53 114.19 111.32 109.32 116.61
Finland CVI value weighted  4.05 4.04 4.35 4.25 4.25 4.34 4.31
Finland CVI tail  98.16 95.53   84.49     72.82
Finland CVI equally weighted  20.20 20.06 20.85 20.83 20.77 20.61 20.47
RMI CVI - Asia
Malaysia CVI value weighted  13.08 12.96 12.31 12.08 12.07 12.32 12.32
Malaysia CVI tail  205.38 205.13 208.87 201.22 201.73 201.59 201.59
Malaysia CVI equally weighted  61.90 62.14 60.93 60.93 61.09 61.10 61.09
Philippines CVI value weighted  17.15 16.72 16.29 16.01 15.88 15.42 15.20
Philippines CVI tail  123.46 123.97 124.69 123.81 125.25 117.79 113.53
Philippines CVI equally weighted  28.39 27.63 27.56 27.77 26.99 25.70 25.21
Thailand CVI value weighted  6.21 6.20 5.98 5.86 5.84 5.87 5.85
Thailand CVI tail  86.14 90.54 82.86 82.70 83.85 82.74 82.19
Thailand CVI equally weighted  22.14 21.18 21.13 20.81 20.83 20.27 20.64
Vietnam CVI value weighted  24.80 23.56 22.31 21.59 21.87 21.46 21.50
Vietnam CVI tail  223.76 221.52 215.63 213.24 213.95 212.13 215.65
Vietnam CVI equally weighted  69.29 67.66 67.69 67.90 68.53 67.63 68.49
Indonesia CVI value weighted  34.90 35.57 33.33 32.18 32.70 33.96 34.01
Indonesia CVI tail  228.47 229.73 226.21 215.02 225.84 230.77 233.51
Indonesia CVI equally weighted  56.75 56.92 57.02 56.14 56.99 58.64 58.81
China CVI value weighted  30.57 31.00 31.83 31.05 30.90 30.93 30.91
China CVI tail  206.72 211.18 225.46 222.25 223.41 222.94 222.60
China CVI equally weighted  66.32 67.74 70.64 70.18 70.24 70.25 69.93
Japan CVI value weighted  3.07 2.92 2.46 2.43 2.53 2.43 2.42
Japan CVI tail  20.23 19.58 17.93 17.71 18.07 17.64 17.27
Japan CVI equally weighted  5.02 4.82 4.23 4.18 4.26 4.15 4.10
Singapore CVI value weighted  8.98 8.89 8.59 8.37 8.38 8.49 8.51
Singapore CVI tail  164.21 179.54 154.54 177.54 178.38 159.16 159.16
Singapore CVI equally weighted  45.08 46.65 45.26 46.47 45.58 45.37 45.36
Australia CVI value weighted  4.23 4.08 4.65 4.62 4.59 4.68 4.76
Australia CVI tail  140.91 136.05 130.55 128.47 123.38 126.75 128.85
Australia CVI equally weighted  31.73 31.15 31.35 30.03 29.17 30.11 30.73
Taiwan CVI value weighted  2.68 2.64 2.31 2.26 2.24 2.32 2.27
Taiwan CVI tail  19.03 19.18 18.41 18.19 18.40 18.47 17.93
Taiwan CVI equally weighted  4.70 4.65 4.36 4.31 4.29 4.46 4.33
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  4.42 4.43 4.11 3.95 3.90 3.97 3.99
S&P 500 CVI tail  36.59 36.41 37.16 35.58 34.97 34.96 35.12
S&P 500 CVI equally weighted  7.81 7.47 7.51 7.27 7.08 7.00 7.03
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