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

Chao‐Ton su (Department of Industrial Engineering and Engineering Management, National Tsing Hua University, Hsinchu, Taiwan)
Huei‐Chun Wang (Department of Industrial Engineering and Management, National Chiao Tung University, Hsinchu, Taiwan)

Asian Journal on Quality

ISSN: 1598-2688

Article publication date: 21 August 2004

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

Citation

su, C. and Wang, H. (2004), "Robust Design of Credit Scoring System by the Mahalanobis‐Taguchi System", Asian Journal on Quality, Vol. 5 No. 2, pp. 1-16. https://doi.org/10.1108/15982688200400009

Publisher

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Emerald Group Publishing Limited

Copyright © 2004, Emerald Group Publishing Limited