Financial distress prediction can be formulated as a classification problem and accomplished by advanced data mining techniques. In classification based on multiple criteria linear programming (MCLP), we need to find the optimal solution as a classifier, by solving the MCLP problem. However, the errors can be caused by a fixed cutoff between a “good” group and a “bad” group by MCLP structure. In many applications, such as credit card account classification and bankruptcy prediction, how to handle two types of error is a key issue.