1

Building credit score model

for credit card application assessment









Abstract
Scoring system plays an important role in large a number of countries from more than
50 years. It is used in many applications in banks especially in retail credit. Recently some
banks in Egypt start to use deductive scoring system, which are essentially based on
experience, to decide if the bank will grant a credit card to a new applicant or not.
In this paper we build empirical scoring system models, which depend on quantitative
techniques, using Composite Rule Induction System (CRIS), Bayesian classification, and
linear programming. These models will be built using samples obtained from a system that
depends on deductive scoring system.
We conclude that a deductive scoring system is not sufficient to make credit decision
and using an empirical scoring system can screen more risky customers than deductive scoring
system. Also it is we recommended reviewing the attributes used to build the models
(deductive and empirical) and modify the questions in credit card application form to give
more accurate results.

Keywords: Scoring system, credit score, Basel II, risk management, credit card.





2 .
.

1. Introduction
The last twenty years have seen a rapid growth in retail credit markets; these types of
retail include credit cards [9]. The numbers of credit card holders have increased rapidly, at
the same time the numbers of customers who can not fulfill their obligations to the banks have
also increased. This fact forced banks to search for methodologies that allow them to
accurately evaluate the creditability of each credit card applicant to minimize the risk of
insolvent customers [15]. The objective of these methodologies is to increase the accuracy of
credit decision to increase profits and decrease losses.
Ramadan Abd El-Hamed Zen El-Den
Operations research department
Institute of Statistical Studies and Research
Cairo University
r_a_zeanedean@hotmail.com

Assem Abd El-Fattah Tharwat
Head of decision support department
Faculty of Computers & Information
Cairo University
assemtharwat@hotmail.com


Ahmed Mahmoud Saleim Eliwa
Supervisor in bank Misr
ahmedreem@yahoo.com



2

Scoring system helps banks to expect whether a new applicant will pay back his/her
liabilities or not in order to estimate and reduce credit risk. It involves techniques that help
financial organizations to decide whether or not to grant credit to applicants so they can
manage and quantify the financial risk and make quickly and objectively issuing decision.
Scoring system tries to relate the characteristics of a customer to its credit risk. According to
this relationship the models are developed to assess credit risk and classify the customer to
predefined subgroups as accurately as possible [2, 20].

At first the methods used to build scoring system were based on discriminate methods
suggested by Fisher in 1936 for general classification problems. Now, many techniques can be
used for building credit score model in a variety of research disciplines. Most of these
techniques generate a model that minimizes some function of error between actual and predict
values, or that minimizes likelihood. Most authors classify these methods to statistical
methods; (e.g. discriminate analysis, regression models, logistic regression, Probit regression,
Tobit analysis, classification tree, k nearest neighbors, and logit models) and non statistical
methods; (e.g. machine learning, rule induction algorithm, genetic algorithm, neural networks,
linear programming, integer programming, expert systems, and analytical hierarchy processes)
[ 4, 6, 14, 20, 22, 23, 24] .

Section 2 discuses the definitions of scoring system and its types. Section 3 presents
problem description. Section 4 gives an overview of CRIS, Bayesian method, and linear
programming as techniques that can be used to build empirical scoring system models. In
section 5 the implantation and conclusion will be presented.

2. Scoring system
2.1. Scoring system definition
There are many definitions for scoring system; these definitions can be reviewed as
follows:
Loretta J. Mester [12] defines scoring system as a quantitative method that is used to
predict the probability loan applicant or an existing borrower will default or become
delinquent.
The Comptroller of the Currency [18] define scoring system as tools used to predict
the behavior of new applicants based on the performance of previous applicants.
Lewis defines scoring system as studying the credit worthiness of any of the many
forms of commerce under which an individual obtains money, goods or services under
condition of repaying the money or to paying for the goods or services, along with a fee (the
interest), at some specific future date or dates [7].
Thomas L. C., et al [20] defines scoring system as the set of decision models and their
underlying techniques that aid lenders in the granting of consumer credit.
Thomas L. C. defines scoring system as a decision process, which has the input:
answer to the application form questions and various information obtained from credit
reference bureau, and the output: separation of applications into good and bads [22].
Mark Schreiner [13] defines scoring system as any technique that forecasts future risk
from current characteristics using knowledge of past links between risk and characteristics.







3
2.2. Scoring system types
There are many types of scoring systems especially with extend there objectives from
classifying the customers into predefined groups to cover the three stages of credit
management process (pre-application stage, credit application stage, and credit performance
stage) [10].
Scoring system types can be summarized as follows [8, 10, 18, 20].
1- Credit score (Application scoring or Pre disbursement scoring)
Deal with new applicants to decide which applicant will be granted credit card and
predict the probability that a consumer will repay as contracted.
2- Behavior score (Performance score or Credit bureau risk scoring or Credit bureau bankruptcy
score or Post disbursement score)
Behavior score deals with current customers to evaluate their credit performance and
classify them into predefined groups to put different strategies, e.g. collection strategies,
renewal decisions.
3- Credit bureau revenue score (Profit score)
Revenue score used to identify the profitable and non profitable customer and rank
them by the amount of net revenue likely to be generated.
4- Collection score (Bad debt management score)
Collection score used to predict the probability that a customer currently delay x day
will late x + z days, z is the numbers of a day which the customer expected to delay over the x
day, in order to build collection strategy to deal with delinquent accounts.
5- Marketing score
The objective of marketing score is to identify credit worthy customers and measure
their responses to promotion activity.
6- Retention score
Retention score used to predict the probability of losing valuable customers to build
effective strategies to customer retention.
7- Desertion score
Desertion scoring predicts the probability that a current customer will apply for
another bank once the current one is paid off.
8- Visit score
Visiting scoring was used before visiting the customer to predict the probability of
rejecting before or after a visit.
All the above scoring system types are based on prior experiences which can be
acquired through deductive (subjective) or inductive (empirical) way. According to these, any
scoring system can be defined as [10, 11, 13]:
1) Deductive (subjective) scoring system
According to deductive score, a weight is given to each attribute, total scoring system are
obtained by adding these weights and the customer is classified into predefined subgroup by
comparing these scoring system with cut off point. The attributes, their weights, and cut point
are determined by the decision maker based on the knowledge obtained from the experts.
2) Empirical (inductive) scoring system
Empirical scoring system use past data about current customers and try to find a relation
between the customers characteristics and the risk associated with each one. These relations
are expressed as set of rules or mathematical formula using quantitative techniques such as
linear discriminate, linear programming, neural networks, etc.
In the following sections we will use the term credit score to refer to an empirical scoring
system.




4
3. Problem description
The decision of issuing a credit card is very critical since any mistake in the credit
decision for single customer means that the bank will lose the profit obtained from other
successful customers. Due to this fact the method used to evaluate the creditability of each
credit card applicant should be as accurate as possible in order to minimize the risk of
insolvent.

The credit card application assessment was based on human judgment to assess the risk
associated to an applicant. Generally the decision based on 4Cs (The Character of the
applicant, The Capital, The Capacity, The Condition) [10, 17, 19].

Judgmental methods depend on criteria that are not systematically tested and vary
when applied by different individuals. Thus the decision was nonuniform, subjective and
opaque, and depends on the personal and empirical knowledge of each single credit analyst [3,
7].

Recently some financial organizations in Egypt started to use deductive credit score to
asses the credit card application in order to decide if they will issue a credit card to the
applicants or not.

The attributes used in these model consists of 11 attributes (three quantitative and
eight qualitative). These attributes are: age, gender (female and male), martial status (single,
divorced, widow, and married), education level (diploma, graduated, and post graduated),
occupation (self employee, employee), experience, home own type (own, rent), home phone
(yes, no), bank account (yes, no), credit card (yes, no), and home years.

According to this model, the financial organization receives the request for issuing
credit card from customers and evaluates them. The accepted customers are granted a credit
card and their credit performance was observed and recorded.

We are aiming at developing empirical credit score using (CRIS), Bayesian
classification, and linear programming to increase the accuracy of credit decision.














5
4. Building credit score model
The data used to build credit score model are summarized in table 1 [2]:


Variables




















Table 1: The data summary table


Where:
- Y refers to the class (good or bad) ) , ( B G Y =
- ) ,....., ,..... , (
2 1 n j
a a a a A = is a set of attributes about credit card holders, where n is the
number of the attributes, n j ,....., 1 =
- Each attribute may have z value, ) ,.., ,...., , (
2 1 jz jk j j j
v v v v a = , z k ,.... 1 = , n j ,.... 1 = . So that
an attributes can be used to partition the sample into z subset, e.g. gender may have two
values (male and female).
- ) ,..., ,..., (
1 in ij i i
a a a X = is the development (training) sample of data for the variables, where
m i ,.... 1 = and m is the sample size (from the application form of previous customers). Thus
ij
a is the jth attributes for ith customer.

4.1. A composite rule induction system (CRI S)
Composite rule induction system is a knowledge acquisition system. CRIS accept a set
of data as inputs and produces "ifthen" rules to interpret the set of data. CRIS consists of the
following three steps [15, 21]:
1- Hypothesis generation
Hypothesis generation is responsible for determining the casual relationships between
dependent attributes (classes good, bad) and independent attributes (gender, education, etc.).
For the nominal attributes, the values are simply identifying different properties and
their mean and variance do not provide useful information. CRIS adopts a cross tabular
approach to determine the relationship between nominal attributes (gender, education, etc.)
and the dependent attributes (good or bad).
Let:
-
Y
refers to the class (good or bad) ) , ( B G Y =
-
G
f
is the number of good customers in the sample

1
a
2
a .
j
a .
n
a

class
1
X

11
a
12
a

.
j
a
1


n
a
1

Y
2
X

21
a

22
a

.
j
a
2


n
a
2

Y
. . . . . . .
Y
i
X

j
a
1

. .
ij
a .
nj
a

Y
. . . . . . . .
. . . . . . .
m
X

1 m
a

2 m
a

.
mj
a

.
mn
a

Y
C
u
s
t
o
m
e
r
s




6
-
B
f
is the number of bad customers in the sample
-
jkG
f
is the number of good customers who have the attribute value
jk
v

-
jkB
f
is the number of bad customers who have the attribute value
jk
v

-
jk
f
is the number of customers (good and bad) that have the attribute value
jk
v ,
jk
f + =
jkG
f
jkB
f

The cross table are given in table 2:
Class
G

B

1 j
v

G j
f
1

B j
f
1

1 j
f

2 j
v

G j
f
2

B j
f
2

2 j
f

. . .

jk
v

jkG
f

jkB
f

jk
f

. . .
jz
v

jzG
f

jzG
f

jz
f


G
f

B
f

Table 2 : The frequency table
To generate the hypothesis we repeat the following step until all hypotheses are
generated for all nominal attributes.
For each
jk j
v a = , z k ,...., 2 , 1 = ,
if >
jkG
f
jkB
f formulate the hypothesis, If
jk j
v a = then G Y =
if <
jkG
f
jkB
f formulate the hypothesis, If
jk j
v a = then B Y =
2- Probability assessment
The purpose of probability assessment is to calculate the probability associated with
each rule.
The probability, ) / (
jk j
v a G P = , of the hypothesis If
jk j
v a = then G Y = and the
probability, ) / (
jk j
v a B P = , of the hypothesis If
jk j
v a = then B Y = are conditional
probabilities, it indicates the likelihood that the conclusion is true if the condition of the
hypothesis is met. Which can be calculated from:
o The prior probability of class i , ) ( G Y P = and ) ( B Y P =
o Other conditional probabilities, ) / ( G v a P
jk j
= and ) / ( B v a P
jk j
= , the
probability that the value of the attribute j is
jk
v given that it is belong to the
specific class.
Let:
-
G
p be the probability that an arbitrary customer is good,
m
f
p
G
G
=
-
B
p be the probability that an arbitrary is bad,
m
f
p
B
B
=
- ) / (
jk j
v a G P = be the probability that a customer is good given the value of the
attribute j is
jk
v .
A
t
t
r
i
b
u
t
e

J




7
- ) / (
jk j
v a B P = be the probability that a customer is bad given the value of the attribute
j is
jk
v .
From the Bayesian theorem the last probabilities can be calculated as follows:
) / ( * ) / ( *
) / ( *
) / (
B v a P P G v a P P
G v a P P
v a G P
jk j B jk j G
jk j G
jk j
= + =
=
= =
) / ( * ) / ( *
) / ( *
) / (
B v a P P G v a P P
B v a P P
v a B P
jk j B jk j G
jk j B
jk j
= + =
=
= =
For the nominal attributes the information about the data distribution is unavailable.
Hence, the conditional probability is assessed by its relative frequency of occurrence in the
training data.
Because both the numerator and denominator are divided by the same constant (total
number of occurrence), the two previous equations can be simplified as follows:
o
jkB B jkG G
jkG G
jk j
f P f P
f P
v a G P
* *
*
) / (
+
= =
o
jkB B jkG G
jkB B
jk j
f P f P
f P
v a B P
* *
*
) / (
+
= =

3- Rule scheduler
A hypothesis with its associated probability is called a candidate rule. Composite rules
induction system selects attributes based on their saliency. Rule saliency is defined as the
difference between the number of cases correctly covered (hit value) and those incorrectly
interpreted (miss value) by the rule.

The resulting structure is a decision tree with rules as its nodes.
Structure construction can be summarized as follows:
1- Determine of rule saliency.
2- Selection of rule. Guidelines for rule selection as follows:
i. If there are rules whose miss values are zero and whose hit values
are positive, then select the one with the highest hit value.
ii. If all rules have positive miss values, then select the rule with
highest positive saliency value.
iii. If more than rules have the same saliency values, then choose the
one with highest probability.

4.2. Nave Bayesian classification
Nave Bayesian classification is simple Bayesian classifier, based on the assumption,
called conditional independence, which the effect of an attributes value on given class is
independent of the value of the other attributes, i.e. the values of the attributes are
conditionally independent of one another. This assumption makes the computation simple and
when it is hold the accuracy of the nave Bayesian increase, in comparison with other
classifiers, when this assumption holds [5].
Nave Bayesian will test if G X e or B X e , where X is unknown sample with the
set attributes ) ,....., ,..... , (
2 1 n j
a a a a A = , n is the number of the attributes, n j ,....., 1 = .





8
The classifier will predict that:
G X e if ) / ( ) / ( X B P X G P
B X e if ) / ( ) / ( X G P X B P
Where:
- ) / ( X G P is the probability that X belongs to the class G given that X has a set
attributes ) ,....., ,..... , (
2 1 n j
a a a a A =
- ) / ( X B P is the probability that X belongs to the class B given that X has a set
attributes ) ,....., ,..... , (
2 1 n j
a a a a A =
Nave Bayesian classifier works as follows:
From Bayesian theorem ) / ( X G P and ) / ( X B P can be calculated as follows:

) ( ) / ( ) ( ) / (
) ( ) / (
) / (
B p B X P G p G X P
G p G X P
X G P
+
= and

) ( ) / ( ) ( ) / (
) ( ) / (
) / (
B p B X P G p G X P
B p B X P
X B P
+
=
Based on the assumption of conditional independence
[
=
= =
n
j
jk
G v X P G X P
1
) / ( ) / (
and
[
=
= =
n
j
jk
B v X P B X P
1
) / ( ) / (
Where:
- ) / ( G v X P
jk
= is the probability that X have attribute
jk
v given that it is belong to
class good, (posterior probability of X condition on the hypothesis that it is belong to
the class G ) and
- ) / ( B v X P
jk
= is the probability that X has attribute
jk
v given that it belongs to class
bad, (posterior probability of X condition on the hypothesis that it belongs to the class
B )
The two conditional probability ) / ( G v X P
jk
= and ) / ( B v X P
jk
= are assessed by the
relative frequency of occurrence in the training data.
Thus:
) / ( G v X P
jk i
=
G
jkG
f
f
=
) / ( B v X P
jk i
=
B
jkB
f
f
=

4.3. MSD model
This model minimize the sum of deviations among the alternative score (not correctly
classified) from the cut off point, this model is know as MSD (minimize the sum of
deviations) [2, 20, 24].
min
i
m
i
o

=1

. .t s
c w a
i
n
j
j ij
> +

=
o
1
, G i e



9
c w a
i
n
j
j ij
s

=
o
1
, B i e
c w
i
, unrestricted in sign and 0 >
i
o
Where:
-
i
o is the overlapping of two classes boundary for all alternatives score
i
A form the cut of
point, i.e. the violation of the classification rules by an alternative
i
X .
- C is the cut point which discriminates between good and bad alternatives
-
j
w are the weigh of the attribute j

5. Implementation and conclusion
5.1. I mplementation
To build and test the credit score models using CRIS, Bayesian, and linear
programming a sample consisting of 200 customers was selected randomly (100 bad and 100
good), these customers granted a credit card based on deductive credit score. The
classification of customers to good and bad depends on the number of months of missed
payment. If the customer delays more than 6 months, that customer are classified as bad,
otherwise the customer is classified as good.

This sample is divided equally into two samples. The first sample consist of 100
customers (50 good and 50 bad), used to build the model, this sample is called the training
sample. The second sample consist of 100 customers (50 good and 50 bad), used to test the
model, this sample is called test sample. The credit score models will be built using the same
attributes used in the current deductive credit score system.

We used the training sample to build the credit score models and test sample to test the
models. The models were built using composite rule induction system, Bayesian classification,
Freed and Glover (1986) model and MSD model. The results are given in the following, for
training and test samples:

- CRIS is good to give an overview of the sample since the procedure used to arrive to the
rules can be understood by the user but if the CRIS is used, it is important to perform
further analysis because the decision may depend on one rule. If this rule is satisfied, then
the applicant will be ranked to the class that the rule defines without examining other rules.
- Using Bayesian and MSD model will decrease the insolvent rate since both models are
successes to detect bad customers and classify them correctly as bad while the deductive
credit score classify them as good, at the same time part of good customers may be loss.

The comparison between Bayesian (Bayesian1) and MSD (MSD1), for test sample, is
summarized in table 3:

Estimated classes for test sample
Original
classes
Good Bad
MSD1 Bayesian1 MSD1 Bayesian1
Good 56% 68% 44% 32%
Bad 32% 40% 68% 60%

Table 3: The comparison between Bayesian and MSD models



11

- Thus using Bayesian1 or MSD1 model will reduce the insolvent rate but some good
customers will be denied. Generally Bayesian1 and MSD1 models give insufficient results
since they classify some good customers as bad and can not detect all bad customers.
- Insufficient results due to there is a need to review the attributes which are used to build the
models since these attributes do not reflect all data about the customers and some of these
attributes are vague. The set of attributes should comprise more relevant data and more
details.

We will try to improve the accuracy of credit score model by removing vague
attributes and adding useful attributes. Due to lake of data, the income will be added to the set
of attributes which are used to build the credit score models and the gender, home own type,
bank account, and credit card will be removed, since it reqires more details and do not provide
useful information.

The attributes which will be used to build the new credit score models are age, martial
status (single, divorced, widow, and married), education level (diploma, graduated, and post
graduated), occupation (self employee, employee), experience, home years (how many years
the customer stay in the current address), and income. The new Bayesian and MSD models
will be called Bayesian2 and MSD2.

The result of applying new model for test sample is given in table 4:

Estimated classes for test sample
New models
Original
classes
Good Bad
MSD2 Bayesian2 MSD2 Bayesian2
Good 86% 66% 14% 34%
Bad 28% 44% 72% 56%

Table 4: The comparison between Bayesian and MSD models

The performances of Bayesian1, MSD1, Bayesian2 and MSD2 are compared and show
that MSD2 is the best as follows:

- According to rate of good customers which were classified correctly, the methods are
arranged and given in table 5:



Table 5: Methods arranged according rate of good
customers which classified correctly

Model Good
MSD2 86%
Bayesian1 68%
Bayesian2 66%
MSD1 56%



11
- According to rate of bad customers which were classified correctly, the methods can be
arranged and given in table 6.










Table 6: Methods arranged according rate of bad
customers which classified correctly

- From table 5 and 6 MSD2 model performs better than other models. According to rate of
good customers which were classified correctly, MSD2 classify 86% of customers correctly
then Bayesian1 68%, then Bayesian2 66% and MSD1 56%. According to rate of bad
customers which classified correctly, MSD2 72% of customers correctly then MSD1 68%,
then Bayesian1 60% and Bayesian2 56%.

It is clear that MSD after adding income attributes and removing vague attributes
performs better than others models.

5.2. Conclusions
Credit cards are a fast growing business segment and have become the most accepted,
convenient, and profitable financial products. These types of credit make up an important part
of bank revenues and any error in the credit decision for a single customer means that the
banks will lose the profit obtained from other successful customers so banks must give more
attention in credit decision for this type of credit.
Credit score is used to support banks to estimate whether to issue a credit card to new
applicant or not. It gives quick, objective, more accurate and consistent credit decisions.
Recently some banks in Egypt start to use deductive credit score for credit card.
Deductive credit score gives consistent decision but imprecise decision because it is still
depends on experience.
We develop an empirical credit score using Composite Rule Induction System (CRIS),
Bayesian classification, and linear programming in order to improve the accuracy on credit
decision. We develop these models using the data obtained from system depending on
deductive credit score. We find that MSD2 model; linear programming model after adding
income attributes and removing vague attributes, performs better than others models.
We conclude that deductive scoring system is not sufficient to make credit decision
and using empirical scoring system can screen more risky customers than deductive scoring
system. Also we recommend reviewing the attributes used to build the models (deductive and
empirical) so its important to review the questions in a credit card application to obtain more
information and help in building the models.
Model Bad
MSD2 72%
MSD1 68%
Bayesian1 60%
Bayesian2 56%



12
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