We focus on credit scoring methods to separate defaulter small and medium enterprises from
non-defaulter ones. In this framework, a typical problem occurs because the proportion of
defaulter firms is very close to zero, leading to a class imbalance problem. Moreover, a
form of bias may aect the classication. In fact, classication models are usually based on
balance sheet items of large corporations which are not randomly selected. We investigate
how dierent criteria of sample selection may aect the accuracy of the classication and
how this problem is strongly related to the imbalance of the classes.