DR JON GREGORY is an independent expert specialising in counterparty risk and xVA related projects. He has worked on many aspects of credit risk in his career, being previously 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 papers on the pricing of credit risk and related topics, Jon is author of the book “Counterparty Credit Risk The New Challenge for the Global Financial Markets” published by Wiley Finance in December 2009 (now in its third edition) and “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives.”
Jon has a PhD from Cambridge University.