I've read in another thread here on HN that we also don't know the factors that go in. Someone listed off things like company title, marital status, # kids, car make/model kind of stuff. No idea if they were full of BS, but there's no requirement that the score is based solely on items in your credit report. We can probably (hopefully?) be sure that no race or race-correlated factors are included. (And same for other protected classes.)

I remember at uni teacher asking why people with larger shoes are more likely to default?

Answer was: Men tend to have larger feet.

I guess even if you ignore race, sex and other factors, data will seep in eventually anyways.