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 is an independent expert specialising in counterparty credit risk and related aspects, including CVA, FVA, collateral regulatory capital, initial margin, and central clearing. He is a consultant to the World Bank Group, serves as senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the Certificate of Quantitative Finance. He holds a PhD from Cambridge University and has worked extensively on credit risk aspects at Barclays Capital, BNP Paribas, and Citigroup. Widely acknowledged as a pioneer in the credit area, he runs bespoke training courses and workshops for financial institutions worldwide.

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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.

Endorsements for the 5th Edition

"As XVA practice and regulation race ahead, Jon Gregory – The Grandmaster of XVA – once again sets the standard with this timely 5th edition. It is fully up to date, sweeping in scope, precise in detail, and genuinely indispensable. If your work touches XVA, this belongs on your desk."

Vladimir V. Piterbarg

Managing Director, Head of Quantitative Analytics, NatWest Markets

"This is by far the clearest and most comprehensive reference work on counterparty credit risk and related value adjustments. With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary."

Darrell Duffie

Adams Distinguished Professor of Management and Professor of Finance, Stanford Graduate School of Business

"Jon Gregory strikes again with "The xVA Challenge". Now at its 5th edition, this excellent book is definitely an indispensable, comprehensive and up-to-date resource for quants, risk managers, or traders who want to understand how counterparty, funding and capital risk drive the derivative markets."

Marco Bianchetti

Financial & Market Risk Management, Intesa Sanpaolo, and University of Bologna, Italy

"Jon’s book does an excellent job at both guiding XVA Desk members deep into complex topics, but also providing valuable inputs to the management and role of the XVA Desk. The clear communication style of Jon makes the book accessible not only for traders and quants, but also for sales and management, which is rare for a book on such complex topics."

Nicki S. Rasmussen

Head of XVA, Danske Bank A/S

"Jon Gregory is one of the godfathers of the xVA story. He is amongst the few who can demystify the puzzle and this book is a key tool for bringing light into these dark matters."

Wim Schoutens

Professor in Risk Management, Quantitative Finance and Financial Engineering, University of Leuven, Belgium

"xVAs and financial resources management and optimization have become central themes in the banking industry, and Jon’s book is the unifying platform for dialogue around these topics. In this edition, with a finely tuned balance between conceptual rigor and practical insight, Jon continues to track key market developments with depth of knowledge and clarity of exposition, whilst highlighting the important open questions."

Ali Najmaie

Managing Director, Global Head of xVA Trading + Equity and Portfolio Analytics, Toronto-Dominion Bank

"The issue of counterparty risk and valuation adjustments continues to see rapid change. Jon Gregory provides the reader with a comprehensive, yet readable, discourse on the different facets of counterparty risk and xVA. This book is an essential reading for regulators and all users of OTC derivatives."

Stuart M. Turnbull

Professor Emeritus, Bauer School of Business, University of Houston