NUS-RMI CRI Technical Report

Credit Research Initiative

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 (PD) and actuarial spread (AS). As of this version of the Technical Report, RMI-CRI covers around 65,000 exchange-listed firms (including delisted ones) in 121 economies around the world.