If you account for most other significant things like income, education, social status, job etc you will find that ethnicity is not significant.

The fact that you can sometimes use ethnicity as a proxy for social status and other things just show the discrimination that happens in some places. But when you set all other factors equal someone from Asia, Africa, Northern Europe will have the same default rate. At least in the (European) countries I've run models in.

People with the exact same FICO score have different default rates, if you manage to bin them by race: Asians > Caucasians > Latin > Black.

> We do get a some variables even if we are not allowed to use them.

Cool, so you had access to an ethnicity variable to measure its proxy power and significance? I feel this is important and very rare outside of Europe.

Self-fulfilling prophecy. We discriminate against black people based on perceptions which leads to realized behaviors.