Application of Analytic Hierarchy Process to Develop Credit Scoring Models for Financial Institution Obligors in Vietnam Commercial Banks

The paper reviews application of the AHP with the 9-point scale into credit scoring model development for low-default porfolios. Based on random simulation results, the authors provide threshold levels of the consistency statistics for the 5-point scale cases. On that basis, a scoring model for the segment of non-life insurance companies is developed as a real application of the method. In addition, the rank ordering comparison between the model output and independent expert opinion confirms a good discriminatory power of the model