Bio

I hold a MSc in Banking and Quantitative Finance (2016, distinction with honours) and a PhD (2019, cum laude, International PhD Mention, Extraordinary Award) in Quantitative Finance from Complutense University of Madrid (UCM). My doctoral dissertation concerns recent advances in the fields of stress testing and systemic risk. My research focuses on the spillover analysis using state-of-the-art techniques to capture the joint dependence between variables. My research interests lie in the fields of Risk Management and Financial Econometrics. My current research has a direct application on stress testing exercises and climate risk assessment.

In relation to my professional background, I have worked on projects for the European Commission dealing with systemic risk (Apr 2017- Aug 2017) and climate risk (Nov 2020 – Jul 2022), for the European Central Bank regarding the design of stress test scenarios (Jun 2018- May 2019) and for the Spanish National Securities Market Commission (CNMV) concerning the application of a liquidity stress test for investment funds and its implications for financial stability (Jun 2019 – Oct 2020).

Research Field(s): Applied Econometrics Economic and Financial Networks Forecasting Resource and Energy Economics Risk Management

Staff working papers

Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps

Staff Working Paper 2023-38 Andrea Ugolini, Juan C. Reboredo, Javier Ojea Ferreiro
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.
Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Credit risk management, Econometric and statistical methods JEL Code(s): C, C2, C24, G, G1, G12, G3, G32, Q, Q5, Q54

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Journal publications