Raquel M. Gaspar

ISEG and Cemapre, Universidade de Lisboa

Associate Professor

Rua Miguel Lupi, 20

room 510

Lisbon, 1249-078

Portugal

SCHOLARLY PAPERS

28

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CITATIONS
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34

Scholarly Papers (28)

1.

Liquidity Risk and Solvency II

Insurance Markets and Companies: Analyses and Actuarial Computations, Vol. 1, No. 3, pp. 85-96
Number of pages: 18 Posted: 10 Dec 2010 Last Revised: 16 Dec 2010
Raquel M. Gaspar and Hugo Sousa
ISEG and Cemapre, Universidade de Lisboa and affiliation not provided to SSRN
Downloads 504 (54,466)
Citation 1

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Liquidity Risk, Value-at-Risk, Solvency II, Insurance Regulation

2.

Convexity Adjustments for ATS Models

ISEG Advance Working Paper No. 9/2008
Number of pages: 25 Posted: 05 May 2009 Last Revised: 18 Mar 2016
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences
Downloads 420 (68,213)
Citation 1

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affine term structure, convexity adjustments, CMS, LIBOR in arrears

3.

Investment Analysis of Autocallable Contingent Income Securities

Financial Analysts Journal, Vol. 71, pp. 61–83, May/June 2015.
Number of pages: 52 Posted: 21 Mar 2014 Last Revised: 06 Aug 2015
Rui A. Albuquerque, Raquel M. Gaspar and Allen Michel
Boston College, Carroll School of Management, ISEG and Cemapre, Universidade de Lisboa and Boston University School of Management
Downloads 316 (94,662)

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4.

Correlation Between Intensity and Recovery in Credit Risk Models

SSE/EFI Working paper Series in Economics and Finance No. 614
Number of pages: 44 Posted: 17 Jul 2006 Last Revised: 08 Mar 2009
Raquel M. Gaspar and Irina Slinko
ISEG and Cemapre, Universidade de Lisboa and Swedbank, Group Risk Control
Downloads 309 (97,062)
Citation 2

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Credit risk, sistematic risk, intensity models, recovery, credit spreads

5.

Historical VaR for Bonds - A New Approach

in Proceedings of the 8th Portuguese Finance Network Conference (Ed. by L. Coelho and R. Peixinho), ISBN 978-989-20-4584, Portugal, pp. 1951-1970
Number of pages: 19 Posted: 29 Mar 2014 Last Revised: 08 Jul 2016
Instituto Superior de Engenharia de Lisboa (ISEL), New University of Lisbon - Faculty of Science and Technology ( FCT), ISEG and Cemapre, Universidade de Lisboa and University of Lisbon - Faculty of Science and Technology
Downloads 295 (102,073)

Abstract:

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6.

Interest Rate Theory and Geometry

Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367, 2010
Number of pages: 43 Posted: 10 Dec 2010
Tomas Bjork and Raquel M. Gaspar
Stockholm School of Economics - Swedish House of Finance and ISEG and Cemapre, Universidade de Lisboa
Downloads 254 (119,576)

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Interest Rate Models, Arbitrage Theory, Stochastic Processes, Martingales,PDEs, ODEs, Manifolds, Potentials, Finite Dimensional Realizations

7.

Liquidity Risk Premia: An Empirical Analysis of European Corporate Bond Yields

Number of pages: 21 Posted: 21 Jan 2011
Raquel M. Gaspar and Patrícia Pereira
ISEG and Cemapre, Universidade de Lisboa and SGFP Bank of Portugal
Downloads 206 (146,794)

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Liquidity Premium, Credit Risk, Yield Corporate Spread, CDS Spread

8.

On Recovery and Intensity's Correlation - A New Class of Credit Risk Models

Journal of Credit Risk, Vol. 4, No. 2, pp. 1-33
Number of pages: 28 Posted: 04 Jul 2008 Last Revised: 15 Apr 2010
Raquel M. Gaspar and Irina Slinko
ISEG and Cemapre, Universidade de Lisboa and Swedbank, Group Risk Control
Downloads 205 (147,494)
Citation 5

Abstract:

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Credit risk, Sistematic risk, Intensity models, Recovery, Credit spreads

9.

Portfolio Insurance — A Comparison of Alternative Strategies

Advance Working Paper Series, N.2/2011
Number of pages: 43 Posted: 24 Jul 2013
Jorge Costa and Raquel M. Gaspar
Technical University of Lisbon (UTL) - Advance Research Center and ISEG and Cemapre, Universidade de Lisboa
Downloads 186 (161,375)

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10.

General Quadratic Term Structures for Bond, Futures, and Forward Prices

SSE/EFI Working Papers Series in Economics and Finance, No. 559
Number of pages: 57 Posted: 10 Jul 2006 Last Revised: 07 Jul 2008
Raquel M. Gaspar
ISEG and Cemapre, Universidade de Lisboa
Downloads 185 (162,182)
Citation 10

Abstract:

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term structure, bond price, futures price, forward price, affine term structure, quadratic term structure

11.

Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects

SSE/EFI Economics and Finance Working Paper No. 616
Number of pages: 60 Posted: 17 Jul 2006 Last Revised: 09 Mar 2009
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre, Universidade de Lisboa and University of Freiburg
Downloads 156 (188,122)
Citation 3

Abstract:

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Credit risk, reduced-form models, CDS, CDO, quadratic term structures, shot-noise

12.

Finite Dimensional Markovian Realizations for Forward Price Term Structure Models

STOCHASTIC FINANCE, M. Grossinho, A. Shyriaev, M. Esquvel, P. Oliveira, eds. , Chapter 10, pp. 265-320, Springer Verlag Publisher, 2006
Number of pages: 51 Posted: 17 Jul 2006 Last Revised: 07 Jul 2008
Raquel M. Gaspar
ISEG and Cemapre, Universidade de Lisboa
Downloads 112 (243,688)

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forward prices, term structures, state space models, Markovian realizations, HJM models

13.

Term Structure Models with Shot-Noise Effects

ISEG Advance Working Paper No. 3/2007
Number of pages: 18 Posted: 04 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre, Universidade de Lisboa and University of Freiburg
Downloads 101 (261,926)
Citation 1

Abstract:

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Term Structure Models, Quadratic Term Structure Models, Shot-noise

14.

Credit Risk Modelling with Shot-Noise Processes

Number of pages: 25 Posted: 14 Apr 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre, Universidade de Lisboa and University of Freiburg
Downloads 96 (270,750)
Citation 4

Abstract:

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credit portfolio risk, shot-noise processes, default dependence, affine models, local intensities, calibration, CDO

15.

CDOs in the Light of the Current Crisis

FINANCIAL RISKS: NEW DEVELOPMENTS IN STRUCTURED PORDUCT & CREDIT DERIVATIVES, C. Gourieroux and M. Jeanblanc, EDS., Chapter 4, pp.33-48, Economica
Number of pages: 12 Posted: 03 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre, Universidade de Lisboa and University of Freiburg
Downloads 82 (299,135)

Abstract:

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CDOs, credit risk, Affine, Shot-noise, Top-down

16.

On Swap Rate Dynamics: To Freeze or Not to Freeze?

Number of pages: 20 Posted: 22 Oct 2015
Raquel M. Gaspar and Rita Pimentel
ISEG and Cemapre, Universidade de Lisboa and University of Lisbon - CEMAT
Downloads 65 (340,737)

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drift freeze, low variance martingale, instantaneous forward rate, yield curve

17.

LIBOR Convexity Adjustments for the Vasicek and Cox-Ingersoll-Ross Models

Number of pages: 16 Posted: 22 Oct 2015
Bruno Gaminha, Raquel M. Gaspar and Orlando Oliveira
Universidade de Coimbra, ISEG and Cemapre, Universidade de Lisboa and Universidade de Coimbra
Downloads 60 (354,743)
Citation 1

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Convexity adjustments, LIBOR-in-arrears, Vasicek, CIR

18.

Counterparty and Liquidity Risk — An Analysis of the Negative Basis

Advance Working Paper Series, N.3/2011
Number of pages: 38 Posted: 24 Jul 2013
Vladimir Fonseca and Raquel M. Gaspar
Technical University of Lisbon (UTL) and ISEG and Cemapre, Universidade de Lisboa
Downloads 59 (357,706)

Abstract:

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Credit Default Swaps, CDS, Bond, Basis, Counterparty Risk, Liquidity Risk

19.

Implied Volatility and Forward Price Term Structures

Advance Working Paper Series ISEG, n. 3/2009
Number of pages: 15 Posted: 24 Mar 2014
Raquel M. Gaspar
ISEG and Cemapre, Universidade de Lisboa
Downloads 58 (360,737)

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Implied volatility, forward prices, term structures, finite realizations

20.

Expectation Hypothesis Bias: Risk Aversion versus Stochastic Adjustments

ADVANCE working paper Series, n. 1/2011
Number of pages: 37 Posted: 29 Mar 2014
Renato França and Raquel M. Gaspar
Willis Towers Watson and ISEG and Cemapre, Universidade de Lisboa
Downloads 33 (451,068)
Citation 2

Abstract:

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21.

Who Can Portfolio Insurance Strategies Attract? Mapping Solutions to Investors

Number of pages: 36 Posted: 18 May 2018
Raquel M. Gaspar and Paulo M. Silva
ISEG and Cemapre, Universidade de Lisboa and ISEG, Universidade de Lisboa
Downloads 24 (496,266)

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decision under risk, financial decisions, uncertainty, portfolio insurance, prospect theory, mean variance analysis, expected utility

22.

Investors' Perpective on Portfolio Insurance - Expected Utility vs Prospect Theories

Number of pages: 25 Posted: 18 May 2018
Raquel M. Gaspar and Paulo M. Silva
ISEG and Cemapre, Universidade de Lisboa and ISEG, Universidade de Lisboa
Downloads 21 (513,421)

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Portfolio Insurance, Expected Utility, Prospect Theory, Cumulative Prospect Theory, Monte Carlo Simulation

23.

Design Risk: The Curse of CPPI Products

Posted: 18 May 2018
Raquel M. Gaspar
ISEG and Cemapre, Universidade de Lisboa

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Portfolio Insurance, Design Risk, CPPI, Empirical Simulation

24.

Empirical Simulation Analytics in Financial Engineering

Posted: 18 May 2018
Raquel M. Gaspar
ISEG and Cemapre, Universidade de Lisboa

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Empirical Simulation, Big Data, Risk analytics

25.

Machine Learning Vasicek Model Calibration with Gaussian Processes

Communications in Statistics - Simulation and Computation, Vol. 41, 1-11
Posted: 17 Dec 2010 Last Revised: 19 Mar 2014
João Beleza Sousa, Manuel L. Esquível and Raquel M. Gaspar
Independent, New University of Lisbon - Faculty of Science and Technology ( FCT) and ISEG and Cemapre, Universidade de Lisboa

Abstract:

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Vasicek interest rate model, Arbitrage free risk neutral measure, Calibration, Gaussian processes for machine learning, Zero coupon bond prices

26.

Convexity Adjustments

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, R. Cont, ed., Wiley, 2009
Posted: 07 Mar 2009 Last Revised: 06 May 2009
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences

Abstract:

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convexity adjustment, LIBOR rate, swap rates, in-arrears products, CMS, forward price, futures

27.

Solvency II - An Important Case in Applied VAR

The VaR Modeling Handbook: Practical Applications in Alternative Investments, Banking, Insurance and Portfolio Management, G.N. Gregoriou, ed., Ch. 12, McGraw-Hill, ISBN: 9780071625159
Posted: 04 Jul 2008 Last Revised: 12 May 2009
Technical University of Lisbon (UTL) - School of Economics and Management, ISEG and Cemapre, Universidade de Lisboa and ISP - Instituto de Seguros de Portugal

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Value-at-Risk, Financial risk regulation, insurance regulation, Solvency II

28.

On the Pricing of CDOs

CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Posted: 04 Jul 2008
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre, Universidade de Lisboa and University of Freiburg

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CDS, CDO, First-to-default Swaps, Quadratic Term Structures, Shot-noise