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: 09/18/2017 09/15/2017 09/14/2017 09/13/2017 09/12/2017 09/11/2017 09/08/2017
RMI CVI - Middle East
Israel CVI value weighted  14.24 14.22 14.23 14.09 14.22 14.76 13.29
Israel CVI tail  109.44 109.23 111.59 116.04 110.00 110.37 104.33
Israel CVI equally weighted  28.22 28.79 28.93 29.05 29.14 29.60 28.23
RMI CVI - North America
US CVI value weighted  4.99 5.00 5.04 5.01 4.99 5.13 5.45
US CVI tail  215.31 218.55 216.67 213.93 213.38 235.88 231.51
US CVI equally weighted  54.72 55.33 55.40 55.42 59.29 60.86 59.69
Canada CVI value weighted  6.51 6.51 6.50 6.51 6.45 6.53 7.35
Canada CVI tail  324.48 350.51 295.76 319.65 347.70 303.40 331.55
Canada CVI equally weighted  71.98 73.45 71.56 73.43 75.23 75.37 76.66
RMI CVI - Europe
Eurozone CVI value weighted  5.32 5.37 5.32 5.34 5.35 5.48 6.13
Eurozone CVI tail  71.50 71.88 73.12 73.58 72.37 73.93 77.73
Eurozone CVI equally weighted  24.72 24.73 24.90 25.22 25.12 25.06 25.36
Germany CVI value weighted  4.24 4.29 4.27 4.31 4.28 4.39 4.61
Germany CVI tail  81.88 81.92 81.82 85.46 79.65 83.68 82.69
Germany CVI equally weighted  22.99 24.18 24.06 23.87 24.34 23.32 23.33
France CVI value weighted  5.38 5.43 5.37 5.40 5.45 5.57 5.34
France CVI tail  52.44 51.05 50.29 47.85 48.43 49.70 61.23
France CVI equally weighted  11.80 11.83 11.85 11.76 11.66 12.44 12.48
UK CVI value weighted  9.70 9.84 9.61 9.45 9.50 9.62 10.83
UK CVI tail  110.77 111.30 110.96 111.46 112.67 115.32 118.59
UK CVI equally weighted  31.03 31.07 30.79 30.29 31.89 32.81 34.19
Denmark CVI value weighted  8.34 8.45 8.20 8.20 8.12 8.19 8.68
Denmark CVI tail  73.38 74.01 75.19 81.27 75.60 75.66 86.43
Denmark CVI equally weighted  29.43 29.36 29.31 31.24 29.53 29.16 31.03
Norway CVI value weighted  14.52 14.50 14.45 14.49 14.83 15.20 15.71
Norway CVI tail  201.91 191.91 200.01 204.95 204.42 206.60 212.07
Norway CVI equally weighted  57.67 54.04 54.58 53.31 48.06 48.23 50.11
Sweden CVI value weighted  5.30 5.35 5.29 5.30 5.34 5.41 5.70
Sweden CVI tail  110.05 108.82 103.10 105.16 106.57 108.62 112.50
Sweden CVI equally weighted  30.45 30.51 29.98 29.90 29.62 29.95 30.24
Turkey CVI value weighted  22.29 22.14 21.95 22.02 21.80 21.71 21.89
Turkey CVI tail  69.99 69.09 70.64 69.31 68.42 69.55 75.29
Turkey CVI equally weighted  25.03 25.34 25.67 25.67 26.05 26.59 27.16
Switzerland CVI value weighted  3.15 3.18 3.14 3.13 3.15 3.26 3.36
Switzerland CVI tail  56.62 53.12 54.32 53.86 55.32 57.39 66.63
Switzerland CVI equally weighted  16.70 15.71 14.94 15.04 15.37 15.77 15.91
Greece CVI value weighted  23.18 22.12 21.57 20.95 20.50 20.71 21.29
Greece CVI tail  226.28 224.37 219.30 220.86 219.17 227.49 226.60
Greece CVI equally weighted  112.57 110.10 112.73 117.31 115.02 114.43 116.83
Finland CVI value weighted  2.86 2.91 2.91 2.88 2.88 2.94 3.74
Finland CVI tail  27.21 27.43 26.79 26.79 26.90 27.02 27.32
Finland CVI equally weighted  10.71 9.38 9.20 9.17 9.22 9.34 9.56
RMI CVI - Asia
Malaysia CVI value weighted  8.94 8.91 8.97 9.10 9.07 9.11 9.38
Malaysia CVI tail  171.64 172.65 173.34 172.58 169.97 180.52 185.73
Malaysia CVI equally weighted  43.75 43.55 43.44 43.82 44.04 44.63 45.32
Philippines CVI value weighted  8.30 8.51 8.47 8.54 8.58 8.58 8.20
Philippines CVI tail  69.13 69.28 68.56 66.86 67.09 67.09 65.93
Philippines CVI equally weighted  15.70 15.85 15.60 15.56 15.59 15.60 14.52
Thailand CVI value weighted  7.41 7.47 7.42 7.53 7.43 7.55 7.99
Thailand CVI tail  49.55 47.67 47.68 48.36 48.67 50.64 46.76
Thailand CVI equally weighted  18.24 16.72 16.64 16.57 16.49 17.93 16.38
Vietnam CVI value weighted  22.73 22.95 23.01 23.15 23.30 23.54 24.32
Vietnam CVI tail  160.73 166.59 163.64 162.62 173.18 173.87 172.23
Vietnam CVI equally weighted  42.97 44.39 44.15 43.60 45.02 45.28 44.34
Indonesia CVI value weighted  25.12 24.99 24.87 25.06 25.05 25.13 25.42
Indonesia CVI tail  155.46 154.79 146.56 136.09 144.38 142.78 136.25
Indonesia CVI equally weighted  39.15 38.67 37.70 38.11 38.15 38.49 37.98
China CVI value weighted  20.33 20.53 20.56 20.66 20.76 20.85 22.29
China CVI tail  156.58 157.91 159.83 159.94 159.59 159.70 169.92
China CVI equally weighted  46.03 46.41 46.83 47.08 47.28 47.29 50.30
Japan CVI value weighted  4.70 4.70 4.68 4.56 4.50 4.62 4.54
Japan CVI tail  17.17 17.17 17.00 16.46 16.27 16.63 17.58
Japan CVI equally weighted  4.53 4.53 4.54 4.45 4.38 4.49 5.13
Singapore CVI value weighted  4.71 4.80 4.76 4.73 4.80 4.80 5.05
Singapore CVI tail  191.77 192.10 193.96 196.80 195.64 194.54 197.54
Singapore CVI equally weighted  43.65 43.23 42.88 41.32 43.07 44.28 42.76
Australia CVI value weighted  2.55 2.56 2.51 2.49 2.50 2.55 3.38
Australia CVI tail  74.81 69.53 70.34 71.27 73.09 74.10 66.62
Australia CVI equally weighted  15.89 15.47 15.70 15.66 16.01 16.10 14.49
Taiwan CVI value weighted  1.28 1.30 1.30 1.30 1.29 1.31 1.41
Taiwan CVI tail  12.71 12.07 12.36 12.42 12.95 12.46 12.14
Taiwan CVI equally weighted  2.85 2.89 2.95 2.97 3.00 3.01 3.05
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  2.89 2.90 2.91 2.89 2.88 2.97 3.32
S&P 500 CVI tail  30.58 29.13 28.81 28.67 28.87 29.99 31.53
S&P 500 CVI equally weighted  8.45 8.37 8.37 8.18 8.18 8.61 9.81
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