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 discussion papers

Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data

Staff Discussion Paper 2023-32 Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s): Staff research, Staff discussion papers Topic(s): Climate change, Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54

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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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Bank publications

Financial System Hub articles

January 15, 2024

Mapping out the implications of climate transition risk for the financial system

Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts
We develop a new analytical framework to understand the system-wide implications of climate transition risk. When applying this framework to Canadian data, we find that interconnections within the financial sector could amplify the direct effects of climate transition risk on financial entities.
Content Type(s): Publications, Financial System Hub articles Topic(s): Climate change, Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54

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Journal publications