Credit-risk evaluation is a very challenging and important management science problem in the domain of financial analysis. Many classification methods have been suggested in the literature to tackle this problem. Neural networks, especially, have received a lot of attention because of their...

This paper presents a new approach for consumer credit scoring, by tailoring a profit-based classification performance measure to credit risk modeling. This performance measure takes into account the expected profits and losses of credit granting and thereby better aligns the model developers’...