Hi All,

I would like to ask about Wrong Way Risk inclusion in Potential Future Exposure (and CVA/DVA) calculation in Add-on framework. Specifically, I am trying to figure out WWR for Total Return Swap transactions with Bond as underlying. WWR in this case is due to correlation between Bond's issuer and TRS counterparty creditworthiness. PFE calculation for this product type is currently done with Add-on factor approach, simulations are not used.
What is known for you market practice for such cases where WWR needs to be included in Add-on approach? Is it included in base Add-on through some specific calibration, additional add-on for WWR is taken into account separately or it is included through CSA terms e.g. additional collateral for WWR? The same Add-on is used for CVA/DVA calculation, so the same questions applies.

Thanks