  The two main issues for managing wrong way risk (WWR) for the credit
valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we
start from a novel model-free worst-case approach based on static hedging of
counterparty exposure with liquid options. We say "start from" because we
demonstrate that a naive worst-case approach contains hidden unrealistic
assumptions on the variance of the hazard rate (i.e. that it is infinite). We
correct this by making it an explicit (finite) parameter and present an
efficient method for solving the parametrized model optimizing the hedges. We
also prove that WW-CVA is theoretically, but not practically, unbounded. The
option-based hedges serve to significantly reduce (typically halve) practical
WW-CVA. Thus we propose a realistic and practical option-based worst case CVA.
