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Credit Exposure of the CDS
Hey guys,I've got a question. There is a CDS with bank A, and reference entity being company B. What is the correct way to calculate the credit exposure for the CDS:- given default of the bank A, calculate the value of the CDS- given the default of the bank A and company B, calculate the lossAre there any BIS recommendations on this matter? Any links/documents will be appreciated.Thank you