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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.

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Сontacts

Dexter
Tan
Research Analyst
+65 6516 3380

Risk Management Institute

Daily indices

Type: 11/17/2017 11/16/2017 11/15/2017 11/14/2017 11/13/2017 11/10/2017 11/09/2017
RMI CVI - Middle East
Israel CVI value weighted  14.92 14.92 15.21 15.29 15.29 15.40 15.43
Israel CVI tail  106.44 109.78 104.56 106.61 106.28 112.85 113.40
Israel CVI equally weighted  28.71 28.75 28.14 28.65 28.42 29.12 29.43
RMI CVI - North America
US CVI value weighted  4.74 4.84 4.86 4.92 4.88 5.00 4.99
US CVI tail  192.97 202.35 203.53 208.32 210.79 199.42 197.58
US CVI equally weighted  50.28 53.30 54.40 55.69 56.38 54.18 52.69
Canada CVI value weighted  5.96 6.08 6.08 6.10 5.99 6.14 6.13
Canada CVI tail  316.50 337.83 323.99 327.01 335.54 323.81 326.83
Canada CVI equally weighted  75.71 77.97 76.12 81.36 78.37 77.46 74.53
RMI CVI - Europe
Eurozone CVI value weighted  5.69 5.63 5.70 5.69 5.64 5.55 5.55
Eurozone CVI tail  86.98 87.39 87.27 87.54 86.43 84.50 84.15
Eurozone CVI equally weighted  23.78 23.89 24.24 24.07 23.39 22.43 22.88
Germany CVI value weighted  3.82 3.78 3.88 3.84 3.86 3.90 3.92
Germany CVI tail  98.73 95.69 98.21 98.90 95.35 97.19 96.48
Germany CVI equally weighted  28.37 28.39 29.98 29.72 28.34 26.10 28.21
France CVI value weighted  6.08 6.01 6.10 6.07 6.03 5.84 5.80
France CVI tail  62.07 61.18 67.41 69.38 64.90 67.46 65.54
France CVI equally weighted  14.11 14.39 14.35 14.79 14.12 13.85 13.43
UK CVI value weighted  9.40 9.37 9.47 9.38 9.38 9.57 9.60
UK CVI tail  120.90 117.18 114.89 113.68 114.08 119.30 121.23
UK CVI equally weighted  31.41 30.48 30.42 30.16 29.84 30.47 30.93
Denmark CVI value weighted  5.26 5.20 5.28 5.29 5.20 7.95 7.94
Denmark CVI tail  100.07 99.42 100.25 100.09 96.76 88.81 86.33
Denmark CVI equally weighted  26.41 26.31 27.72 25.92 26.09 24.74 24.76
Norway CVI value weighted  13.86 13.63 13.83 13.34 13.28 14.44 14.19
Norway CVI tail  204.29 209.24 205.05 198.19 202.78 196.60 207.07
Norway CVI equally weighted  60.98 55.73 56.33 53.16 53.27 52.74 52.03
Sweden CVI value weighted  6.08 5.94 6.00 5.92 5.94 5.84 5.80
Sweden CVI tail  122.83 129.18 132.25 123.21 120.53 108.47 107.88
Sweden CVI equally weighted  34.27 34.45 35.43 33.21 33.49 32.07 31.79
Turkey CVI value weighted  27.55 26.54 26.38 25.36 26.43 26.92 26.18
Turkey CVI tail  94.34 86.94 87.02 81.78 83.33 84.17 82.49
Turkey CVI equally weighted  32.83 31.21 30.70 29.58 29.46 30.78 30.15
Switzerland CVI value weighted  2.87 2.87 2.89 2.82 2.76 2.97 2.96
Switzerland CVI tail  48.51 47.91 48.14 48.08 47.11 47.10 48.06
Switzerland CVI equally weighted  14.58 14.44 14.53 14.45 15.51 14.87 14.23
Greece CVI value weighted  26.58 27.71 26.10 26.33 26.40 25.30 25.19
Greece CVI tail  246.61 257.55 233.56 239.82 226.06 198.58 177.45
Greece CVI equally weighted  62.56 64.43 62.58 63.14 62.03 58.78 58.27
Finland CVI value weighted  3.85 3.83 3.92 3.90 3.89 3.26 3.21
Finland CVI tail  34.36 33.44 35.60 34.27 34.17 35.77 35.82
Finland CVI equally weighted  12.50 12.54 12.85 12.61 12.64 12.33 12.12
RMI CVI - Asia
Malaysia CVI value weighted  9.05 9.05 8.96 8.80 8.84 9.04 8.99
Malaysia CVI tail  160.01 160.66 160.30 162.80 161.49 158.01 157.84
Malaysia CVI equally weighted  44.15 44.83 43.73 43.16 43.08 42.68 42.31
Philippines CVI value weighted  8.38 8.35 8.20 8.09 8.05 7.65 7.44
Philippines CVI tail  70.74 69.99 69.25 68.52 69.01 69.86 67.91
Philippines CVI equally weighted  15.96 15.80 15.68 15.65 15.55 15.75 15.56
Thailand CVI value weighted  5.41 5.51 5.53 5.41 5.54 6.78 6.72
Thailand CVI tail  50.61 52.03 46.09 47.30 45.21 50.51 50.30
Thailand CVI equally weighted  12.92 12.83 12.55 13.71 12.28 17.88 16.44
Vietnam CVI value weighted  20.60 20.51 20.89 21.04 21.26 21.47 21.66
Vietnam CVI tail  185.56 186.64 189.54 197.13 195.56 203.68 202.48
Vietnam CVI equally weighted  47.57 47.18 47.81 48.31 48.40 49.45 49.59
Indonesia CVI value weighted  22.07 22.27 22.54 22.42 22.31 22.82 22.70
Indonesia CVI tail  135.37 133.30 131.38 131.00 133.13 144.60 146.06
Indonesia CVI equally weighted  38.02 37.60 37.28 37.07 37.19 38.42 38.44
China CVI value weighted  19.93 19.70 19.78 19.67 19.59 20.01 19.99
China CVI tail  162.74 154.22 152.75 153.93 153.96 161.39 159.11
China CVI equally weighted  48.07 45.91 45.79 45.88 45.74 46.06 45.82
Japan CVI value weighted  3.64 3.75 3.79 3.67 3.54 3.61 3.51
Japan CVI tail  15.54 16.13 16.08 15.57 14.70 14.72 14.41
Japan CVI equally weighted  4.23 4.34 4.37 4.19 4.00 3.98 3.88
Singapore CVI value weighted  4.23 4.34 4.32 4.20 4.16 4.21 4.19
Singapore CVI tail  177.40 164.95 176.16 164.63 179.06 160.71 172.56
Singapore CVI equally weighted  35.76 34.64 35.91 35.49 36.27 36.52 37.97
Australia CVI value weighted  3.08 3.09 3.10 3.05 2.99 2.41 2.37
Australia CVI tail  68.93 70.13 74.67 70.98 75.34 68.75 68.41
Australia CVI equally weighted  16.83 17.07 17.05 16.46 16.78 16.22 16.35
Taiwan CVI value weighted  1.28 1.29 1.28 1.25 1.23 1.36 1.35
Taiwan CVI tail  11.70 11.62 11.41 11.39 11.58 11.74 11.52
Taiwan CVI equally weighted  2.53 2.50 2.51 2.65 2.70 2.75 2.80
RMI CVI - Special Portfolios
S&P 500 CVI value weighted  2.49 2.53 2.53 2.56 2.55 2.73 2.74
S&P 500 CVI tail  25.73 27.60 26.66 26.81 30.86 31.60 33.29
S&P 500 CVI equally weighted  7.77 8.21 8.10 8.23 8.39 8.68 9.33
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