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- Variant B expects the delivery of LGD which will then be transformed in the solution.
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- from an external source.
Component 'LGD Vintage'
This component uses the workout/recovery method with consideration of macroeconomic parameters to estimate the LGD. It calculates a through-the-cycle value which is used to derive the LGD (PIT) using the appropriate macroeconomic parameters. The calculation of this component requires historical recovery data as input, including date of default, the outstanding principal on the default date and recovery amounts on a monthly basis.
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