But in this example the banks are not really doing the classification. They're trying to figure whether it's more profitable to approve or to decline a credit a

But in this example the banks are not really doing the classification. They're trying to figure whether it's more profitable to approve or to decline a credit application. That decision depends not only on probability of default (that risk score predicts), but also on other factors such as APR and type of product. There's another model with some P&L assumptions for that, and turtles all the way down. Besides, banks typically adjust their credit policy a lot more often than credit bureaus update their scorecards, hence scorecard developers cannot really rely on the fast changing loss function.