Morningstar financial health grade is a convenient tool for users to incorporate distance to default to trading strategies. However, it is not easily accessible outside quantopian platform. Under this motivation, I tried to replicate the calculation of financial health grade.
The method that uses standard estimation on equity volatility gives 43% accuracy of grade A, and 67% accuracy of grade A and B. (on 2018-08-01 data)
Lately, it is interesting that even grade D and F can have a low probaility of default (<0.01). That may due to a narrower range in probaility of default while Morningstar ranks the distance to default instead of probability of default.
I did not include dividend in the calculation. You may try to include that and see the difference.