Jon Gregory

Dr Jon Gregory is an independent expert specialising in counterparty credit risk and related areas, including CVA, FVA, collateral, regulatory capital, initial margin, and central clearing. He has more than two decades of experience across a broad range of credit risk disciplines, having previously held senior positions at Barclays Capital, BNP Paribas, and Citigroup, and served as a consultant to the World Bank Group.

Jon is a Senior Advisor to Solum Financial Derivatives Advisory and a faculty member of the Certificate in Quantitative Finance. He is widely recognised as a leading expert and pioneer in the application of quantitative methods to counterparty and credit risk.

He is the author of The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin, now in its fifth edition, and Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives, both published by Wiley Finance.

Jon holds a PhD from the University of Cambridge.

Wiley Finance Published Author.

Teaches:

Bilateral Margining and Central Clearing
Valuation Adjustments: The XVA Challenge