Raquel M. Gaspar

ISEG and Cemapre/REM, Universidade de Lisboa

Associate Professor

Rua Miguel Lupi, 20

room 510

Lisbon, 1249-078

Portugal

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 13,214

SSRN RANKINGS

Top 13,214

in Total Papers Downloads

3,964

SSRN CITATIONS
Rank 23,334

SSRN RANKINGS

Top 23,334

in Total Papers Citations

8

CROSSREF CITATIONS

29

Scholarly Papers (31)

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/REM, Universidade de Lisboa and affiliation not provided to SSRN
Downloads 523 (57,797)
Citation 1

Abstract:

Loading...

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/REM, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences
Downloads 444 (70,736)
Citation 3

Abstract:

Loading...

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

3.

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/REM, Universidade de Lisboa and University of Lisbon - Faculty of Science and Technology
Downloads 402 (79,834)

Abstract:

Loading...

4.

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/REM, Universidade de Lisboa and Boston University, Questrom School of Business
Downloads 340 (96,484)

Abstract:

Loading...

5.

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/REM, Universidade de Lisboa and Swedbank, Group Risk Control
Downloads 311 (106,397)
Citation 3

Abstract:

Loading...

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

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/REM, Universidade de Lisboa
Downloads 265 (126,238)
Citation 1

Abstract:

Loading...

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/REM, Universidade de Lisboa and SGFP Bank of Portugal
Downloads 209 (159,310)

Abstract:

Loading...

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/REM, Universidade de Lisboa and Swedbank, Group Risk Control
Downloads 209 (159,310)
Citation 7

Abstract:

Loading...

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/REM, Universidade de Lisboa
Downloads 196 (169,171)

Abstract:

Loading...

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/REM, Universidade de Lisboa
Downloads 189 (174,787)
Citation 12

Abstract:

Loading...

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/REM, Universidade de Lisboa and University of Freiburg
Downloads 159 (203,213)
Citation 3

Abstract:

Loading...

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/REM, Universidade de Lisboa
Downloads 115 (262,012)

Abstract:

Loading...

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

13.

Credit Risk Modelling with Shot-Noise Processes

Number of pages: 25 Posted: 14 Apr 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 105 (279,306)
Citation 6

Abstract:

Loading...

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

14.

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/REM, Universidade de Lisboa and University of Freiburg
Downloads 101 (286,762)
Citation 1

Abstract:

Loading...

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

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/REM, Universidade de Lisboa and University of Freiburg
Downloads 82 (327,193)

Abstract:

Loading...

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

16.

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

International Journal of Computer Mathematics, 94:11, 2208-2222
Number of pages: 16 Posted: 22 Oct 2015 Last Revised: 08 Jul 2020
Raquel M. Gaspar and Rita Pimentel
ISEG and Cemapre/REM, Universidade de Lisboa and University of Lisbon - CEMAT
Downloads 68 (363,688)
Citation 1

Abstract:

Loading...

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/REM, Universidade de Lisboa and Universidade de Coimbra
Downloads 66 (369,418)
Citation 1

Abstract:

Loading...

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

18.

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/REM, Universidade de Lisboa
Downloads 65 (372,338)

Abstract:

Loading...

Implied volatility, forward prices, term structures, finite realizations

19.

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/REM, Universidade de Lisboa
Downloads 60 (387,700)

Abstract:

Loading...

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

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/REM, Universidade de Lisboa
Downloads 35 (483,178)
Citation 2

Abstract:

Loading...

21.

Neural Network Pricing of American Put Options

Risks 8, 73, 2020
Number of pages: 24 Posted: 04 Aug 2020
Raquel M. Gaspar, Sara Lopes and Bernardo Sequeira
ISEG and Cemapre/REM, Universidade de Lisboa, ISEG, Universidade de Lisboa and ISEG, Universidade de Lisboa
Downloads 6 (662,336)

Abstract:

Loading...

machine learning, neural networks, American put options, least-squares Monte Carlo

22.

Accuracy of European Stock Target Prices

REM Working Paper 0115-2020
Number of pages: 33 Posted: 04 Aug 2020
Joana Almeida and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 6 (662,336)

Abstract:

Loading...

target prices, forecast accuracy, panel data analysis

23.

On Path–dependency of Constant Proportion Portfolio Insurance Strategies

REM Working Paper 094-2019
Number of pages: 37 Posted: 04 Aug 2020
João Carvalho, Raquel M. Gaspar and João Beleza Sousa
Unipartner, ISEG and Cemapre/REM, Universidade de Lisboa and Instituto Superior de Engenharia de Lisboa (ISEL)
Downloads 4 (685,469)

Abstract:

Loading...

Portfolio Insurance, CPPI, OBPI, SLPI, path-dependencies, cash-lock, Conditioned GBM Simulations

24.

Default Propensity Implicit in Pulled to Par V@r for Bonds

Discussiones Mathematicae Probability and Statistics 37 (2017) 79–99
Number of pages: 22 Posted: 03 Aug 2020
Manuel L. Esquível, Raquel M. Gaspar and João Beleza Sousa
FCT, Universidade Nova de Lisboa, ISEG and Cemapre/REM, Universidade de Lisboa and Instituto Superior de Engenharia de Lisboa (ISEL)
Downloads 4 (677,187)

Abstract:

Loading...

value-at-risk, bonds, default probability, recovery given default

25.

Pulled-to-Par Returns for Zero-Coupon Bonds Historical Simulation Value at Risk

Journal of Statistical Theory and Practice, 14 (30), 2020
Posted: 04 Aug 2020
João Beleza Sousa, Manuel L. Esquível and Raquel M. Gaspar
Instituto Superior de Engenharia de Lisboa (ISEL), FCT, Universidade Nova de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa

Abstract:

Loading...

26.

Design Risk: The Curse of CPPI Products

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

Abstract:

Loading...

Portfolio Insurance, Design Risk, CPPI, Empirical Simulation

27.

Empirical Simulation Analytics in Financial Engineering

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

Abstract:

Loading...

Empirical Simulation, Big Data, Risk analytics

28.

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/REM, Universidade de Lisboa

Abstract:

Loading...

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

29.

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/REM, Universidade de Lisboa and Aarhus University - School of Business and Social Sciences

Abstract:

Loading...

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

30.

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/REM, Universidade de Lisboa and ISP - Instituto de Seguros de Portugal

Abstract:

Loading...

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

31.

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/REM, Universidade de Lisboa and University of Freiburg

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 25
1.

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

REM Working Paper 092-2019
Number of pages: 24 Posted: 18 May 2018 Last Revised: 07 Jul 2020
Raquel M. Gaspar and Paulo M. Silva
ISEG and Cemapre/REM, Universidade de Lisboa and Lusitania
Downloads 25 (516,059)

Abstract:

Loading...

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