General wrong way risk is defined as due to a positive correlation between the level of exposure and the default probability of the counterparty due to general market factors. (Specific wrong way risk is when they are positively correlated anyway).
Given that the different market factors tend have a stronger positive correlation when one is talking about the same country/region(mainly the base curves), the same industry (mainly the spreads), etc, should be the concentration risk (per region, industry,..) be used to model the general wrong way risk?
