Evaluating Credit Applications: A Validation of Multiattribute Utility Techniques against a Real World Criterion

摘要

Twenty-two credit officers from a major California lending institution served as subjects in a criterion validation of multiattribute utility elicitation techniques. The techniques tested were the Holistic Orthogonal Parameter Estimation (HOPE) technique (Barron and Person, 1978), Simple Multiattribute Rating Technique (SMART: Edwards, 1977), point distribution, and three rank weighting techniques as discussed in Stillwell and Edwards, 1979. Equal weighting of importance dimensions was also investigated. The criterion against which the judgments were compared was the lending institutions own credit scoring model. This model is based on statistical analysis of over 8,000 cases from the bank records and is a best fit prediction model. Results demonstrate that subjective judgments of importance weighting show a high degree of agreement in application selection and in total utility realized from that selection. Decomposition techniques did somewhat better than holistic techniques.