The purpose of this study is to address the critical issue of optimal credit allocation. Predicting a borrower …'s probability of default is a key requirement of any credit allocation system but turning it into labeled classes leads to problems … in performance measurement. In this paper the connection between the probability of default and optimal credit allocation …

The eigenproblem solution of the multi-domain efficient allocation is identified as a direct generalization of the … classical Neyman-Tchuprov optimal allocation in stratified SRSWOR. This is achieved through analysis of eigenvalues and … structure of the optimal allocation vector and relative variance than in such purely numerical tools (although the eigenproblem …