You are quite right to require non-discrimination, thanks for providing this insight, as I would generally accept any method that assesses risks reliably, like having no credit record. Everyone will agree probably, that we are talking about illegal discrimination based on inacceptable grounds, like gender, heritage or sexual preferences. Discrimination based on former ability to pay back loans should be acceptable, also discrimination based on income or presumed job stability, there will be a lot of factors we might accept. If there were factors which looked OK at first, but would in fact be discriminating in favour of straight middle aged white males, we should object to these factors being used, both morally as well as legally. Even with these proxy discriminations ruled out, there will be differences in your groups total loan acceptance rate, but you, as an individual, should get the same evaluation as anyone from any different group in a similar situation.
There is a catch though. What if I told you that formerly, in the good old times, when actual people decided on your loan, these people might have been far more racist, mysogynist, homophobe and otherwise preferential than any current algorithm? I deem it rather probable, that any big company trying to earn money by lending money to you is rather more interested in this said money than pushing some ideology into the world.
On the other hand there is one additional problem, are we able to evaluate the algorithms? Are we able to spot wilfull incorporation of proxy discrimination? Neural nets might be able to produce good evaluation results, usually they are built with no explanatory component. Expert systems are able to explain, but are we able to understand the explanation. Apparently we need better software, designed to be able to prove it is non-discriminatory. Furthermore, we probably should require this software to be transparent, enabling us, as society, if we think the grounds are acceptable. Thus we could lead discussions like this, is it acceptable policy to deny heavy drinkers a loan.