Date of Award
Fall 12-2015
Degree Type
Dissertation-Restricted
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Dr. Mohammad K. Hassan
Second Advisor
Dr. Duygu Zirek
Third Advisor
Dr. James Ronnie Davis
Fourth Advisor
Dr. Jose Francisco Rubio
Fifth Advisor
Dr. Tarun K. Mukherjee
Abstract
This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.
Recommended Citation
Castro, Esther E., "An Applied Credit Scoring Model and Christian Mutual Funds Performance" (2015). University of New Orleans Theses and Dissertations. 2061.
https://scholarworks.uno.edu/td/2061
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.