I need to analyze the risk of a fund with various types of credits, such as consumer, student, and real estate. These categories all have FICO credit scores.
I need to assess the risk of the fund under various different economic scenarios and therefore would like to have a probability of default for each category.
So my question is: Is there a table or transition matrix available that will map certain FICO scores to a PD or possibly a Moody's score?
Thank you in advance for your help!