It actually makes sense. You're thinking of credit rating like it should be a blacklisting system, penalizing people who abuse it. But instead it's a whitelisting system, giving more privileges to people that have demonstrated trustworthiness. If you never play the game to begin with, then you have no credit rating, and therefore nobody knows if they can trust you.

A while back I interned with a company called Rapleaf that was trying to do the same thing for the internet, by tracking your social footprint (based on your email), figuring out information about you and, more interestingly, how long that information has been on the internet, as well as figuring out your social graph. I'm not quite sure if this is still the same stuff they're doing these days (they may be focused more on just providing data about people rather than providing "trustworthiness"), but at the time the idea was the longer someone's identity has been on the internet, and the more trusted friends they have, the more trustworthy they were. The example as to why this would be useful is a photo sharing site. If you build a new site that allows people to upload photos, you're going to need to impose a cap on the number/size of photos, or you'll very quickly end up being used as a storage provider for porn sites. But if you have a way of rating the trustworthiness of a new sign-up, you can offer them much more space because you're pretty sure they're not trying to use your site improperly. A blacklisting mechanism would be completely useless, because people would just create new accounts to get around it. But a whitelisting mechanism completely prevents that.

Like I said, I'm not sure if Rapleaf is interested in the trustworthiness thing anymore. I suspect they've found that simply selling information about people is a lot more lucrative. But the original idea was and still is a worthwhile concept.

The optimal way to play any "reputation" system is to build up an exemplary rating until you've unlocked all the "trusted-people-only" privileges, then suddenly exploit them all at once and disappear. In the case of credit ratings, this means being an exemplary debtor until one day you're trusted with a huge loan and you default.

This clearly still happens. It's a fundamental fact about how debts work and it's a central element in many confidence tricks (for example pyramid schemes). So credit ratings only benefit the lenders if the amount they save on loans to suboptimal players who default at random exceeds the amount they lose to organized people who exploit the system.