Jon Gregory

Independent

SCHOLARLY PAPERS

9

DOWNLOADS

1,547

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (9)

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1.

CVA Wrong Way Risk: Calibration Using Quanto CDS Basis

Number of pages: 17 Posted: 06 Jun 2018 Last Revised: 19 Jun 2019
Tsz-Kin Chung and Jon Gregory
IHS Markit and Independent
Downloads 625 (83,235)
Citation 2

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credit valuation adjustment, wrong way risk, quanto CDS, FX devaluation

2.

The Impact of Initial Margin

Number of pages: 19 Posted: 06 Jun 2016 Last Revised: 08 Jun 2016
Jon Gregory
Independent
Downloads 586 (90,312)
Citation 10

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Initial margin, collateral, MVA, wealth transfer, SIMM, central counterparty, BCBS-IOSCO

3.

Closing Out the DVA Debate

Number of pages: 12 Posted: 06 Jun 2016
Jon Gregory and Ilya German
Independent and Independent
Downloads 126 (427,507)
Citation 5

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CVA, DVA, Bilateral, Close-Out, IRFS 13

4.

Why CDOs Work

J. Gregory, 2014, "Why CDOs Work", Risk, May.
Number of pages: 9 Posted: 22 May 2016
Jon Gregory
Independent
Downloads 111 (470,382)

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CDO, credit risk, structured credit, credit default swap, rating agency, tranche, Gaussian copula model, systematic risk

5.

A Free Lunch and the Credit Crunch

Risk, August 2008
Number of pages: 12 Posted: 28 May 2016
Jon Gregory
Independent
Downloads 53 (717,509)

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CDS, monoline, CDPC, credit risk, wrong-way risk

6.

A Trick of the Credit Tail

Risk, March 2008
Number of pages: 12 Posted: 28 May 2016
Jon Gregory
Independent
Downloads 46 (762,045)

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CDS, leveraged super senior, super senior, tranche, LSS

7.

Being Two-Faced Over Counterparty Credit Risk

Risk, March 2009
Posted: 28 May 2016
Jon Gregory
Independent

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counterparty risk, CVA, DVA, bilateral, CDS

8.

A Credit Risk Toolbox

Credit Risk Models and Management, Risk Books, Ed. David Shimko, pp. 283-289, 1999
Posted: 19 Feb 2000
Angelo Arvanitis and Jon Gregory
Paribas and Independent

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9.

Building Models for Credit Spreads

Journal of Derivatives, Spring 99 issue
Posted: 14 Mar 1999 Last Revised: 02 Jan 2018
Angelo Arvanitis, Jon Gregory and Jean-Paul Laurent
Paribas, Independent and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

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