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Robust Design of Credit Scoring System by the Mahalanobis‐Taguchi System

Robust Design of Credit Scoring System by the Mahalanobis‐Taguchi System Credit scoring is widely used to make credit decisions, to reduce the cost of credit analysis and enable faster decisions. However, traditional credit scoring models do not account for the influence of noises. This study proposes a robust credit scoring system based on Mahalanobis‐Taguchi System (MTS). The MTS, primary proposed by Taguchi, is a diagnostic and forecasting method using multivariate data. The proposed approach’s effectiveness is demonstrated by using real case data from a large Taiwanese bank. The results reveal that the robust credit scoring system can be successfully implemented using MTS technique. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asian Journal on Quality Emerald Publishing

Robust Design of Credit Scoring System by the Mahalanobis‐Taguchi System

Asian Journal on Quality , Volume 5 (2): 16 – Aug 21, 2004

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Publisher
Emerald Publishing
Copyright
Copyright © 2004 Emerald Group Publishing Limited. All rights reserved.
ISSN
1598-2688
DOI
10.1108/15982688200400009
Publisher site
See Article on Publisher Site

Abstract

Credit scoring is widely used to make credit decisions, to reduce the cost of credit analysis and enable faster decisions. However, traditional credit scoring models do not account for the influence of noises. This study proposes a robust credit scoring system based on Mahalanobis‐Taguchi System (MTS). The MTS, primary proposed by Taguchi, is a diagnostic and forecasting method using multivariate data. The proposed approach’s effectiveness is demonstrated by using real case data from a large Taiwanese bank. The results reveal that the robust credit scoring system can be successfully implemented using MTS technique.

Journal

Asian Journal on QualityEmerald Publishing

Published: Aug 21, 2004

Keywords: MTS; Robust design; Credit scoring; Signal to noise ratios; Orthogonal arrays

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