International Journal of Quality Innovation

Korean Society for Quality Management (한국품질경영학회)
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Robust Design of Credit Scoring System by the Mahalanobis-Taguchi System

  • Su, Chao-Ton (Department of Industrial Engineering and Engineering Management National Tsing Hua University) ;
  • Wang, Huei-Chun (Department of Industrial Engineering and Management National Chiao Tung University)
  • Published : 2004.12.01
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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.

Keywords

References

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