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CUTTING EDGE - Credit derivatives - Being two-faced over counterparty credit risk - A recent trend in quantifying counterparty credit risk for over-the-counter derivatives has invo...
Gregory, Jon - In: Risk : managing risk in the world's financial markets 22 (2009) 2, pp. 86-90
Persistent link: https://www.econbiz.de/10008213173
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Model risk - Credit tails - Models have taken a lot of flak in the past few months, with dealers and investors alike racking up millions of dollars in losses after the second major...
Gregory, Jon - In: Risk : managing risk in the world's financial markets 21 (2008) 1, pp. 100-103
Persistent link: https://www.econbiz.de/10007909181
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Counterparty risk - Closing out DVA
Gregory, Jon; German, Ilya - In: Risk : managing risk in the world's financial markets 26 (2013) 1, pp. 96-100
Persistent link: https://www.econbiz.de/10010070810
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Credit derivatives: I will survive - The authors apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte...
Gregory, Jon; Laurent, Jean-Paul - In: Risk : managing risk in the world's financial markets 16 (2003) 6, pp. 103-108
Persistent link: https://www.econbiz.de/10007031668
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Books - Credit: A Complete Guide to Pricing, Hedging and Risk Management by Angelo Arvanitis and Jon Gregory, published by Risk Books, by Stuart Turnbull of Canadian Imperial Bank...
Arvanitis, Angelo; Gregory, Jon; Turnbull, Start - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 97-98
Persistent link: https://www.econbiz.de/10007040152
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A CREDIT RISK TOOLBOX - New ways of working out credit loss distribution for faster and more accurate testing.
Arvanitis, Angelo; Browne, Christopher; Gregory, Jon; … - In: Risk : managing risk in the world's financial markets 11 (1998) 12, pp. 50-55
Persistent link: https://www.econbiz.de/10007060035
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Credit derivatives: In the core of correlation In a follow-up to their - will survive article of last year, Jon Gregory and Jean-Paul Laurent show how to tractably niove beyond a f...
Gregory, Jon; Laurent, Jean-Paul - In: Risk : managing risk in the world's financial markets 17 (2004) 10, pp. 87-91
Persistent link: https://www.econbiz.de/10007025548
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Kreditderivate: Beste Überlebenschancen - Die Autoren benutzen ein analytisches konditionales Abhängigkeits-Verfahrensmodell zur Bewertung von Default Baskets und synthetischen CDO...
Gregory, Jon; Laurent, Jean-Paul - In: Risk : managing risk in the world's financial markets 38 (2004), pp. 31-38
Persistent link: https://www.econbiz.de/10007025859
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CUTTING EDGE - Credit derivatives - A free lunch and the credit crunch - Monoline insurers act as AAA guarantors of the senior risks in structured finance. A purchaser of credit in...
Gregory, Jon - In: Risk : managing risk in the world's financial markets 21 (2008) 8, pp. 74-77
Persistent link: https://www.econbiz.de/10008092408
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CUTTING EDGE - Credit derivatives - A trick of the credit tail - Leveraged super-senior (LSS) trades represent a mechanism for packaging senior credit risk. Many LSS structures hav...
Gregory, Jon - In: Risk : managing risk in the world's financial markets 21 (2008) 3, pp. 88-92
Persistent link: https://www.econbiz.de/10007993209