NOTE: The files below are all saved as PDF documents.
| Title | Type of Article | Year |
|---|---|---|
| Gregory, J., "A Note on the behaviour of single-name proxy CDS hedges in the BA-CVA formula" BA-CVA formula | Working paper | 2019 |
| Gregory, J., "xVA goes mainstream" xVA Mainstream Jan17 | Working paper | 2017 |
| Gregory, J., "The Impact of Initial Margin" InitialMarginPaper July16 | Working paper | 2016 |
| Gregory, J., "Marginally Conservative?" CCP Paper Sept15 | Working paper | 2015 |
| Gregory, J., 2014, "Why CDOs Work", Risk, May. Why CDOs Work May14 | Paper | 2014 |
| Gregory, J., and I. German, 2012, “Closing out DVA”, Risk, January ClosingOutDVA_September2012 | Paper | 2012 |
| Gregory J., 2011, "Counterparty risk in credit derivative contracts", The Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie (Eds), Oxford University Press. Counterparty-Risk-in-Credit-Derivative-Contracts-Updated | Book Chapter | 2011 |
| Vrins, F., and J. Gregory, 2011, “Getting CVA up and running”, Risk, November VrinsGregory_RunningCVA | Paper | 2011 |
| J. K. Gregory, 2009, “Being two faced over counterparty credit risk”, Risk 22 (2), pages 86-90. Download working paper below. Two-Faced_Over_CCR | Paper | 2009 |
| J.-P. Laurent and J. K. Gregory, “A comparative analysis of CDO pricing models”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 15, 389-427, Risk Books. | Paper | 2008 |
| J. K. Gregory and J.-P. Laurent, “Practical pricing of synthetic CDOs”, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 9, 223-257, Risk Books. Download working paper below. Practical_Pricing_of_Synthetic_CDOs | Paper | 2008 |
| J. K. Gregory, 2008, “A free lunch and the credit crunch”, August, pages 74-77. Download working paper below. A_Free_Lunch_and_the_Credit_Crunch | Paper | 2008 |
| J. K. Gregory, 2008, “A trick of the credit tail”, Risk, March, pages 88–92. Download working paper below. A_Trick_of_the_Credit_Tail | Paper | 2008 |
| X. Burtschell, J.K. Gregory and J.-P. Laurent, 2007, “ Beyond the Gaussian copula: stochastic and local correlation”, Journal of Credit Risk, Vol. 3, No. 1, pp. 31-62. Download working paper below. Stochastic_Local_Correlation_Updated_January_2007 | Paper | 2007 |
| J-.P. Laurent and J. K. Gregory, 2005, “Basket Default Swaps, CDOs and Factor Copulas”, Journal of Risk, Vol. 7, No. 4, pp. 103-122. Download working paper below. Basket_Default_Swaps_CDOs_and_Factor_Copulas_2003 | Paper | 2005 |
| J. K. Gregory and J.-P. Laurent, 2004, “In the core of correlation”. Risk, Vol. 17, No. 10, pp. 87-91. Download working paper. In_the_Core_of_Correlation | Paper | 2004 |
| J. K. Gregory and J.-P. Laurent, 2003, “I will survive”, Risk, June, 103-107 also published in "Derivatives Trading and Option Pricing", N. Dunbar (ed.), Chapter 8, 129-145, Risk Books, 2005 and in "Theory and Practice of Credit Risk Modelling", A. Lipton (ed.), Chapter 14, 211-226, Risk Publications, 2008. | Paper | 2003 |
| A. Arvanitis, J. K. Gregory and R.J. Martin, 2000, “Hedging Financial Risks Subject to Asymmetric Information”, The Journal of Risk Finance, Volume 1, Issue 2, p. 9-18. | Paper | 2000 |
| Arvanitis, A, J. K. Gregory, and J.-P Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43. | Paper | 1999 |
| A. Arvanitis, C. Browne, J. K. Gregory, R.J. Martin, 1998, “A Credit Risk Toolbox”, Risk, December (1998). | Paper | 1998 |
| J. K. Gregory, 2010, "Are we building the foundations for the next crisis already? The case of central clearing", May. CCP_Article | Working paper | 2010 |
| "Counterparty Casino: The need to address a systemic risk" Download regulatory paper below. counterparty_casino__the_need_to_address_a_systemi | Working paper | 2010 |
| "Towards active management of Counterparty Credit Risk with CVA", white paper written with Algorithmics. Click on link below to download. http://www.algorithmics.com/en/solutions/cva.cfm | Working paper | 2010 |
| "Gaining from your own default - counterparty credit risk and DVA", article written with Intedelta. Click on link below to download article. http://www.intedelta.com/publications/gaining-your-own-default-counterparty-credit-risk-and-dva | Working paper | 2009 |
| J. K. Gregory, 2009, "Gaining from your own default - counterparty risk and DVA", article written together with Intedelta, November. Link Here | Working paper | 2009 |
| "The evolution of counterparty credit risk - an insider's view", white paper with Quantifi. Download paper below. http://www.quantifisolutions.com/derivatives-week-evolution-of-counterparty-credit-risk--an-insiders-view.aspx | Working paper | 2009 |
| "Credit value adjustment and the changing environment for pricing and managing counterparty risk", white paper written with Algorithmics. Download paper below. Algo-WP1209-CVASurvey | Working paper | 2009 |
| J. K. Gregory, 2008, “Credit Challenge”, Risk Magazine, January 2008. | Paper | 2008 |
| J. K. Gregory, 2008, “Credit Tails”, Risk Magazine, July 2007. Download working article below. Credit_Tails | Paper | 2008 |
| J. K. Gregory, 2014, "Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives", John Wiley & Sons Details | Books | 2014 |
| J. K. Gregory, 2012,"Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets - Second Edition", John Wiley and Sons. Details | Books | 2012 |
| J. K. Gregory, 2009, “Counterparty Risk: The New Challenge for Global Financial Markets”, John Wiley and Sons. | Books | 2009 |
| J. K. Gregory (Ed), 2003, “Credit Derivatives: A Definitive Guide”, Risk Books | Books | 2003 |
| A. Arvanitis & J. K. Gregory, 2001, “Credit: The Complete Guide to Pricing, Hedging and Risk Management”, Risk Books | Books | 2001 |