Credit risk of American option

CFA Level III Derivatives
#1

OTC American call option with strike 10 €, current market value of underlying 12 €, option costs 1 € and option’s value 4 €.

Why is the credit risk the option’s value and not the current market value of the underlying minus the strike – as it is a American option and in the money?!

Thanks

#2

In that scenario the option value cant be 4.

anyways, for you question: consider the underlying if you own it (eg in a collar, covered call or protective put). dont consider it if you just own the option (bull , bear spreads, ,)