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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!

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  • $\begingroup$ Still looking for an answer. I would appreciate a hint or suggestion as well. $\endgroup$ – Haphy_Paphy Oct 9 at 12:30

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