Gregory, who is leaving for personal reasons, said he planned to move into a mixture of academic, consulting and training work.
Gregory joined the bank from BNP Paribas in 2005, where he was global head of credit derivatives research. Having written extensively on credit derivatives pricing, he edited Credit Derivatives: The Definitive Guide in 2003. More recently, he contributed an article on the history of credit derivatives modelling for Risk's 20th anniversary edition in 2007, as well as others discussing subjects such as the shortfalls of credit models and the valuation of leveraged super-senior tranches.
It is understood an internal replacement for him has been found, although BarCap declined to comment on the issue.