I've priced an exotic option with Monte Carlo method under the Heston model. Then I want to estimate Wrong way risk. In a paper I've found this method to calculate WWR: WWR can be modeled by means of joint simulation of underlying risk factors and credit factors; the dependence structure is modeled by the correlation between Brownian motion driving the Heston model as well as Brownian motion driving the CIR model (the default rate is a stochastic process following the Cox-Ingersoll-Ross (CIR) model). I can't understand what I have to do. Does someone have references that explain this method?