NUS RMI Credit Research Initiative
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 about 60,400 listed firms in Asia Pacific, North America, Europe, Latin America, the Middle East and Africa. This web portal presents the outputs from this model, including daily updated PDs for individual firms in the aforementioned regions and aggregate PDs for different economies and sectors. Future phases of this initiative will expand our coverage to include the remainder of the global economy.
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. An updated presentation on the CRI is available here.
This website serves as the information centre for the CRI and will be updated on a daily basis to demonstrate its operational feasibility and ensure the relevance of its contents.
Coverage of results
RMI covers around 60,400 listed firms (including delisted ones) in 106 economies in Asia-Pacific, North America, Europe, Latin America, Middle East and Africa at this time. Of the 38,150 active firms under the CRI coverage, over 33,500 firms have sufficient data to release daily updated PDs.
Approach to research
The RMI Credit Research Initiative adopts an innovative approach to research seldom used in finance and economics by inviting external teams to join in our efforts in a "selective Wikipedia" approach.