NUS-RMI Credit Research Initiative Technical Report

Risk Management Institute Singapore

Chapter 7 in Global Credit Review:Volume 4, 2014, pp 117-202 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This document describes the implementation of the system which the Credit Research Initiative (CRI) at the Risk Management Institute (RMI) of the National University of Singapore (NUS) uses to produce probabilities of default (PDs). As of this version of the Technical Report, RMI covers around 60,400 listed firms (including delisted ones) in 106 economies around the world (see Table A.1). Of the around 40,000 active firms under the CRI coverage, around 34,000 firms have sufficient data to release daily updated PDs. The PD for all firms is freely available to users who can provide evidence of their professional qualifications to ensure that they will not misuse the data. General users who do not request global access are restricted to a list of 3,000 firms. The individual company PD data, along with aggregate PDs at the economy and sector level, can be accessed at http://rmicri.org…

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets (search for similar items in EconPapers)
Date: 2014
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