  General wrong way risk (WWR) estimation is necessary for regulatory CVA
capital and useful for pricing CVA and FVA. We introduce a model independent
method for calculating WWR and update the definition of WWR to deal with the
lack of replication instruments (calibration data) transparently. This model
independent approach is extremely simple: we just re-write the CVA and FVA
integral expressions in terms of their components and then calibrate these
components. This provides transparency between component calibration and
CVA/FVA effect because there is no model interpretation in between. Including
funding in WWR means that there are now two WWR terms rather than the usual
one. Using a regulatory inspired calibration from MAR50 we investigate WWR
effects for vanilla interest rate swaps and show that the WWR effects for FVA
are significantly more material than for CVA. This model independent approach
can also be used to compare any WWR model by simply calibrating to it for a
portfolio and counterparty, to demonstrate the effects of the model under
investigation in terms of components of CVA/FVA calculations.
