In a medium mixing bowl, combine the mayonnaise, Parmesan cheese, anchovies, garlic, lemon juice, Dijon mustard, Worcestershire sauce, and olive oil.
Whisk until the dressing is smooth and creamy.
Season with salt and black pepper.
If the dressing is too thick, whisk in the cold water one tablespoon at a time until it reaches your desired consistency.
Transfer the dressing to an airtight container.
Refrigerate and let it rest for 30 minutes to allow the flavors to fully develop.
Stir well before serving over Caesar salad, grilled chicken, wraps, or as a vegetable dip.