Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

Nedgångar i världsekonomin med påföljande likviditetsproblem hos företag har medfört negativa konsekvenser för banker, vilket skapade behov av effektiv kreditriskhantering. För att förhindra stora kreditförluster försöker banker ständigt minimera sina risker vid kreditgivning genom att identifiera fallgropar. Syftet är att undersöka vilka faktorer som bidrar till kreditförluster och belysa hur Nordea kan minimera risker vid kreditgivning utifrån dessa faktorer. Datainsamling skedde via granskning av litteratur och en fallstudie. Studieobjektet var affärsbanken Nordea där det genomfördes flera intervjuer med kreditansvariga på en regional nivå. För att ta reda på utvecklingen av kreditvolym inom Sverige sammanställdes data utifrån kreditgivningsstatistik från Nordea Hypotek AB. Enligt teorin är kreditförluster beroende av direkta och indirekta faktorer. Medan de direkta faktorerna kan påverkas av en kreditanalytiker ligger de indirekta faktorer utanför dennes inflytande. Det kan konstateras att Nordea har lyckats minimera kreditrisker i avsevärd grad med reservation för vissa förbättringar och att de faktorer som förorsakar förluster har banken klarat av att hålla under kontroll. Bankens grundläggande strategi i riskhanteringen är att använda sig av förnuftig kreditgivning. Samtliga respondenter har betonat vikten av att göra grundliga utredningar vid nya kreditansökningar samt frekventa uppföljningar vid en föraning på betalsvårigheter hos befintliga kredittagare. Genom dessa rutiner kan banken fånga upp problematiska affärstransaktioner och förebygga uppkomsten av kreditförluster. / Turbulence in the world economy with following liquidity problem in enterprises has lead to negative consequences for banks that creates a need for effective credit risk management. To prevent significant credit losses, banks tries constantly to minimize their risks in credit granting through identifying pitfalls. The purpose is to investigate the factors that contribute to the credit losses and illustrate how Nordea can minimize risks in credit granting. Data were gathered from the literature review and a case study. The object of study is the Swedish Business Bank Nordea where several credit managers has been interviewed at the regional level. To obtain a volume of credit development in Sweden, gathered the credit granting statistics of the source of Nordea Hypotek AB. According to the theory credit losses are depending on direct and indirect factors. While direct factors can be affected by a credit analyst, indirect factors are outside of his influence. It can be stated that Nordea has been succeed in minimizing of risks at the considerable degree, with reservation for some improvements, and that some factors that cause losses the bank manage to keep under control. Bank´s fundamental strategy in risk management is to use reasonable credit granting. All of respondents have stressed the importance of thorough inquiry on new credit application and frequent following up suspicions of payment difficulties with existing borrowers. Through these routines can bank capture problematic business transactions and prevent appearance of credit losses.

Background: If a company does not have an optimal model for credit portfolio management they can face difficulties if they cannot forecast how the credit portfolio will behave during recessions. It can be explained with the fact that the management for the company might ask how the department forecasts a probable default within the credit portfolio. The senior management might want to know how the management for the credit portfolio measures how big credit losses can become. They might also want to know how it is possible to reduce the risk of big credit losses. The key factor in this type of questions is how it is possible for a company to forecast a default.          Purpose: Our purpose is to make a pilot study where we bring out the components that are necessary for the creative of an optimal model that is applicable on Sandvik’s credit portfolio.   Method: For the collection of empirical data, we used a qualitative method. The qualitative method was based on interviews with respondents from Scania Financial Services, Volvo CE International and Swedbank. In addition, we had discussions with our “employer” Sandvik about their credit portfolio management. We analyzed the empirically gathered data with a hermeneutic perspective.   Conclusions:                   Sandvik has a credit portfolio with many small companies which imply that it is a high risk portfolio. For that reason we brought out components that are necessary for their credit portfolio. The components we brought out were by a comparison between the theory and our cases. The components are following: parameters within country assessment, customer’s customer, payment history and payment behavior, judgement of customer’s management, utterances from the management, investment plans, cash flow analysis, stable earnings, key performance indicators, profitability, future forecasts, balance sheet analysis, legal situation, business expertise and securities.

Wind power is the most mature green energy source in electric power systems and is now a booming worldwide industry. The use of wind power is growing rapidly throughout the world to reduce environmental degradation. Due to global environmental concerns and public awareness, many power utilities around the world are considering wind energy as a substitute for conventional generation. Many governments already have energy plans and policies in place to ensure significantincrease in power generation using wind energy within designated time periods. The wind is variable, site specific and is an intermittent source of energy. It is therefore a complex task to analyze generating system capacity adequacy considering wind energy. The growing application of wind power dictates the need to develop methods to evaluate the system reliability and the capacity value of wind power. Wind is generally considered to be a source of energy, rather than a power source. It is equally important however, to consider the capacity credit of wind power as its penetration increases in electric power systems. It is very important for both electric power utilities and wind power developers to accurately assess wind capacity credit and therefore it is necessary to study and develop different methodologies for performing this task. The research presented in this thesis examines a range of methods used for the evaluation of wind capacity credit using data from four wind sites in Saskatchewan. The techniques, methods and results presented in this thesis should prove to be valuable for system planners assessing generating capacity adequacy evaluation incorporating wind energy.

Wind power is the most mature green energy source in electric power systems and is now a booming worldwide industry. The use of wind power is growing rapidly throughout the world to reduce environmental degradation. Due to global environmental concerns and public awareness, many power utilities around the world are considering wind energy as a substitute for conventional generation. Many governments already have energy plans and policies in place to ensure significantincrease in power generation using wind energy within designated time periods. The wind is variable, site specific and is an intermittent source of energy. It is therefore a complex task to analyze generating system capacity adequacy considering wind energy. The growing application of wind power dictates the need to develop methods to evaluate the system reliability and the capacity value of wind power. Wind is generally considered to be a source of energy, rather than a power source. It is equally important however, to consider the capacity credit of wind power as its penetration increases in electric power systems. It is very important for both electric power utilities and wind power developers to accurately assess wind capacity credit and therefore it is necessary to study and develop different methodologies for performing this task. The research presented in this thesis examines a range of methods used for the evaluation of wind capacity credit using data from four wind sites in Saskatchewan. The techniques, methods and results presented in this thesis should prove to be valuable for system planners assessing generating capacity adequacy evaluation incorporating wind energy.

This study investigates the effect of preferred stock on the credit ratings assessed by professional credit analysts. Preferred stock inherently contains both features of debt and equity financing. Hence, the nature of preferred stock has presented a puzzle to the efforts of accounting regulators such as the Financial Accounting Standards Board to consistently classify within the existing framework established by financial reporting standards. I find evidence that the association of preferred stock with credit analysts' assessments of credit risk depends on two factors. First, the association of preferred stock with credit ratings varies by the type of preferred stock. Preferred stock that is redeemable is negatively associated with credit ratings, while nonredeemable preferred stock bears no consistent association with credit ratings. Second, the negative association of redeemable preferred stock with credit ratings is sensitive to the firm's financial condition. For those firms in poor financial health, the negative association dissipates. This is in line with preferred stock's inability to drive an insolvent firm into bankruptcy.

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Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. As to financial institution, how to control credit risks and venture capital to count and withdraw the implementation with new Basel capital protocol, will concern the competitiveness of the financial institution. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Macroeconomic and financial ratio credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.

Abstract According to a survey conducted by Rock (1984), the major factors of influenced credit risk are (1) the relationship with other creditor, (2) income, (3) loan-income ration, (4) profession, (5) immovable property, (6) check & deposit account. And, the sure way to score with lenders are (1) rules of thumb & subjective judgment, (2) credit rating system, (3) credit scoring system, and (4) expert system. The purpose of the present study is to examine the relationships between sex, age, income, profession, assets, the purpose of loan, employment information, credit references, credit limit, total installment loan account by the consumer, total number of inquiries and the consumer¡¦s payment records. The results of this search indicate that: 1. The previous stereo type thinking of banking industry always treat the military officials as wall as police officials are risky groups to consumer credit loan. However, this study found the contrary result. The payment over due rate is comparatively lower than that of other customer groups. The conclusion is that military officials and police officials are potentially good customers to banking system in terms of profit margin against risk. 2. From the credit scoring system of banking industry. That the customers are between 35 to 50s should be better than those age between 20 to 30s. However, this study demonstrates the other direction that customers with age below 35years old always better than those who over 35years old to the banking creditability actual performance. 3. The banking industry assume the married people will be a better group compared with non-married group on the money collect of the loan they made. However this study proves that creditability performance in sequence is (i) age below 35 and singer is the best. (ii) those married is the second while.(iii)age over 35 and non- married group is the worst one. 4. Most of people think those who have consumer credit loan from bank and would not want their family to be aware of their personal loan may have higher chance of payment over due. However, the statistics study from bank branch A indicates that this kind of customers (don¡¦t want family member know about loan) are the best group on payment over due (only 5.5%). While those who agree to let family member aware are the second (7.5%), and others with no comment are the worst.