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Which method among the following is most concerned with estimating default losses by focusing solely on individual firm default probabilities without explicitly modeling default correlation?
A
Vasicek's Model employs a one-factor Gaussian copula to approximate the expected loss distribution by considering default correlation within a portfolio over a specific time period.
B
Credit Risk Plus (Credit Risk+) utilizes assumptions about the default probabilities of individual firms, similar to procedures found in the insurance industry, to calculate default losses.
C
Credit Metrics integrates both default probabilities and credit migrations into its risk assessment, utilizing a Gaussian copula model combined with a rating transition matrix to project future credit ratings and assess losses from both downgrades and defaults.
D
Gordy's extension of Vasicek's model considers a one-factor world assumption for larger portfolios to estimate regulatory capital requirements.
