A well estimated probability of default is most important for constructing a good credit scoring process. The maximum expected utility (MEU) model has been suggested as an alternative of the traditional logistic regression model. Because the MEU model has been constructed using financial data arising from North America and European countries, the MEU model may not be suitable to Korean private firms. Thus, we propose a Korea-specific MEU model by estimating the parameters involved in kernel functions. This Korea-specific MEU model is illustrated using 34,057 private firms to show the performance of the MEU model relative to the usual logistic regression model.