Dr. Jon Gregory - Author and CVA Consultant
Independent expert, consultant and author specialising in counterparty credit risk and xVA (valuation adjustments) related consulting and advisory projects
About Jon
Jon has worked on multiple aspects of credit risk throughout his career, having previously worked with Barclays Capital, BNP Paribas and Citigroup. He is a senior advisor for Solum Financial Derivatives Advisory and a faculty member for the Certificate of Quantitative Finance (CQF). He also serves on the Academic Advisory Board of IHS Markit and is a Managing Editor of the journal Quantitative Finance.
In addition to publishing well received papers on the pricing of credit risk and related topics, Jon is author of two leading books “Counterparty Credit Risk The New Challenge for the Global Financial Markets” and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”
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Latest News
Updated xVA Challenge (5th Edition) - Available 2 July 2026
In the newly revised 5th edition of The xVA Challenge, veteran quantitative finance and counterparty credit risk expert, Jon Gregory, delivers an authoritative roadmap to navigating counterparty risk, funding, collateral, capital, and initial margin. He draws on his extensive experience as a former senior practitioner at Barclays Capital, BNP Paribas, and Citigroup to walk you through the most urgent challenges facing risk managers, traders, and derivatives practitioners right now.
The book explores the latest developments in xVA methodology and practice, guiding you through advanced compression tools for counterparty risk optimisation, detailed ColVA analysis with real-world examples, and the evolving mandate of xVA desks in volatile market conditions. It examines FRTB-CVA implementation challenges, current approaches to KVA and MVA in banking operations, and cutting-edge machine learning and algorithmic differentiation techniques.
You’ll also find:
- Comprehensive coverage of all xVA components including CVA, DVA, FVA, ColVA, KVA, and MVA with practical implementation guidance
- Detailed analyses of FRTB-CVA regulatory requirements and SA-CVA model development for regulatory approval
- Advanced compression techniques and optimization strategies for managing counterparty risk and xVA exposure
- Real-world case studies and examples demonstrating ColVA applications and xVA desk operations during market volatility
- State-of-the-art computational methods including machine learning approaches and algorithmic differentiation for enhanced calculation efficiency
Perfect for risk managers, traders, derivatives practitioners, and financial regulators, The xVA Challenge, 5th Edition, offers essential updates and practical tools that contemporary finance professionals need to effectively implement xVA frameworks, optimise counterparty risk management, and navigate an increasingly fraught regulatory landscape.