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November 2011

RMI Publishes Quarterly Credit Report as Part of its Credit Research Initiative

A quarterly publication produced by RMI’s CRI research team

After its inaugural issue in August, RMI published the second issue of its Quarterly Credit Report (QCR), a companion publication to the Global Credit Review. Produced as part of RMI's Credit Research Initiative (CRI), the QCR gives an analysis of credit outlooks across regions, economies and sectors based on the probabilities of default (PD) generated by RMI's default forecast model, targeted to credit professionals, investors and researchers

This second issue, published in the first week of November, covers the third quarter of 2011. The QCR commentary is divided into four regions: the developed economies of Asia-Pacific; the emerging economies of Asia-Pacific; North America and Western Europe. For each region,  the general credit outlook based on relevant indicators is discussed in relation to RMI's default forecasts. Important and noteworthy economies and sectors within each region are discussed in greater details. The appendices in this volume include a comprehensive overview of various outputs that are produced by the operational PD system of RMI. While the PD system outputs default forecasts at horizons ranging from one month to two years, the QCR reports only one year PDs in order to allow the reader to make consistent comparisons. In addition to the PD produced by the RMI system, the appendices provide important macroeconomic, corporate credit and sovereign risk indicators. These summarize the credit situation, as well as make detailed data available for reference purposes.

The commentary in the QCR is based on equally weighted averages of the PD of exchange-listed firms within economies and industry sectors. The economies that are considered in each region are based on the current coverage of RMI's default forecast model. The developed economies of Asia-Pacific include: Australia, Hong Kong, Japan, Singapore, South Korea and Taiwan. The emerging economies of Asia-Pacific include: China, India, Indonesia, Malaysia, Philippines and Thailand. North America includes: Canada and the U.S.. Western Europe includes: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the U.K..

As of this issue of the QCR, the CRI's operational PD system covers 30 economies in Asia-Pacific, North America and Western Europe. The probabilities of default for 2,200 listed firms are publicly available, along with PDs aggregated at the region, economy and sector level for nearly 30,000 firms. Beyond the publicly available access to 2,200 firms, users with credible professional qualifications can request access to the entire set of nearly 50,000 firms, including firms that are now delisted. Approval will be granted at the discretion of RMI.

If you would like to receive email notifications of new issues of the QCR or if you have any comments, please email qcr@globalcreditreview.com.

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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)