What approaches exist for calculating a fair price for a credit default swap for a bank? Most of the traditional valuation models are geared towards industrial firms. Are there any theoretical approaches that exist in the literature? I can't seem to find any papers or approaches that explicitly have dealt with this and am not sure how to begin an approach.

Say my goal is to find a hypothetical "fairly priced" credit default swap reflecting the default characteristics for a firm such as Royal Bank of Canada, which doesn't actively trade CDSs.


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