ohai

What about the wording in $35 example??

> Given - "A call option the bank purchased from a
> dealer for $30. The current market price of the
> option is $35"
>
> For the Banks long call option position, the most
> appropriate estimate of the amount of risk of a
> credit loss is
>

"the most appropriate estimate of the amount of risk of a credit loss is..."

why is potential CR most apropriate estimate?? what if probability of default is very low?