Clustering identifies outliers that do not have strong connections with the rest of the data. You can't predict PD with clustering only.
For example , you can use clustering to divide the applicants into 10 classes. But without any PD information about some applicants in each class. You will not know the PD of each class.
Well that depend on the details of the question which I do not remember. I might be wrong but I was thinking that the general idea is that regression is applied when you have a view about the characteristics of the data and you want to predict the dependant variable.
However the questions was about the data with unknown characteristics which makes clustering more reliable option to apply (in my humble opinion).