Dr. Gregory, Jon
Jon is an independent consultant based in
London, specialising in the areas of risk
management and credit derivatives. He was
previously the Global Head of Credit Derivatives
Research at Barclays Capital based in London and
responsible for a team spread across London,
New York, Tokyo and Hong Kong.
Jon has worked on many aspects of credit
modeling over the last decade, being previously
Jon is an independent consultant based in
London, specialising in the areas of risk
management and credit derivatives. He was
previously the Global Head of Credit Derivatives
Research at Barclays Capital based in London and
responsible for a team spread across London,
New York, Tokyo and Hong Kong.
Jon has worked on many aspects of credit
modeling over the last decade, being previously
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with BNP Paribas and Salomon Brothers. He designed the model for
computing economic capital at Paribas involving the first application of the
saddle-point technique to credit risk computations. Jon worked on the
pricing of basket default swaps and synthetic CDO tranches at BNP. This
contribution played a key role in the growth of BNPs business and them
being regarded as innovators in dynamic risk management of portfolio
credit derivatives.
In addition to publishing papers on the pricing of credit risk and related
topics, he is co-author of the book “Credit: The Complete Guide to Pricing,
Hedging and Risk Management”, short-listed for the Kulp-Wright Book
Award for the most significant text in the field of risk management and
insurance and has recently edited “Credit Derivatives: a Definitive Guide”.
He is a popular speaker.
Jon holds a BSc in Chemistry from the University of Bristol and a PhD in
Theoretical Chemistry from Cambridge University.
computing economic capital at Paribas involving the first application of the
saddle-point technique to credit risk computations. Jon worked on the
pricing of basket default swaps and synthetic CDO tranches at BNP. This
contribution played a key role in the growth of BNPs business and them
being regarded as innovators in dynamic risk management of portfolio
credit derivatives.
In addition to publishing papers on the pricing of credit risk and related
topics, he is co-author of the book “Credit: The Complete Guide to Pricing,
Hedging and Risk Management”, short-listed for the Kulp-Wright Book
Award for the most significant text in the field of risk management and
insurance and has recently edited “Credit Derivatives: a Definitive Guide”.
He is a popular speaker.
Jon holds a BSc in Chemistry from the University of Bristol and a PhD in
Theoretical Chemistry from Cambridge University.
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