I know someone who was moved from the UK to the US with work. Despite earning $200,000 PA he still had to pay 6 months rent up front and he was unable to get a new iPhone on contract. He told me this was because no credit history = 0.
If credit scores were really based on risk they would look at the default risk of immigrants as a group (maybe using things like country of origin, education level, and job status to fine tune) and start the score to reflect the real risk rather than starting at zero.