Raquel M. Gaspar

ISEG and Cemapre/REM, Universidade de Lisboa

Associate Professor

Rua Miguel Lupi, 20

room 510

Lisbon, 1249-078

Portugal

  • ISEG and Cemapre/REM, Universidade de Lisboa

SCHOLARLY PAPERS

47

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50

Scholarly Papers (47)

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1.

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
João Beleza Sousa, Manuel L. Esquível, Raquel M. Gaspar and Pedro Real
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 1,329 (33,038)
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2.

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 629 (92,315)
Citation 1

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

3.

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 Independent
Downloads 561 (106,749)
Citation 3

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

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 453 (138,695)

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5.

Interest Rate Theory and Geometry

Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367, 2010
Number of pages: 47 Posted: 10 Dec 2010 Last Revised: 19 Sep 2023
Tomas Bjork and Raquel M. Gaspar
Stockholm School of Economics - Swedish House of Finance and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 384 (168,072)
Citation 1

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

6.

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 380 (170,043)

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7.

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 347 (187,423)
Citation 3

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

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 314 (209,545)
Citation 8

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

9.

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 272 (242,997)

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

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 233 (283,614)
Citation 12

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

11.

Estimation Risk and Robust Mean Variance

in Mean-Variance Theory: applications and risks, Chapter 4, pp. 95-120, 2018
Number of pages: 26 Posted: 13 Oct 2023
Joao Cardoso and Raquel M. Gaspar
Independent and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 206 (319,078)
Citation 1

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Mean-variance theory, robust estimation

12.

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 193 (339,010)
Citation 3

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

13.

Machine Learning Vasicek Model Calibration with Gaussian Processes

Communications in Statistics - Simulation and Computation, Vol. 41, 1-11
Number of pages: 12 Posted: 17 Dec 2010 Last Revised: 19 Sep 2023
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
Downloads 176 (368,558)
Citation 1

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

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/REM, Universidade de Lisboa and University of Freiburg
Downloads 171 (382,039)
Citation 7

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

15.

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 168 (383,998)

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Implied volatility, forward prices, term structures, finite realizations

16.

Design risk: the curse of CPPIs

Number of pages: 27 Posted: 03 Nov 2023
Raquel M. Gaspar and João Beleza Sousa
ISEG and Cemapre/REM, Universidade de Lisboa and Instituto Superior de Engenharia de Lisboa (ISEL)
Downloads 163 (396,348)

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Cash-lock, Conditioned GBM Simulations, CPPI, OBPI, SLPI, Path-dependencies.

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 162 (396,348)
Citation 1

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

18.

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 147 (429,888)

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

19.

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 143 (442,039)

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

20.

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 136 (457,655)
Citation 2

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

21.

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 135 (460,414)
Citation 1

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

22.

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 108 (546,794)

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

23.

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 108 (546,794)

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

24.

Accuracy of European Stock Target Prices

Almeida, J. and R.M. Gaspar (2021). Accuracy of European Stock Target Prices. Journal of Risk and Financial Management 14 (9): 443.
Number of pages: 27 Posted: 04 Aug 2020 Last Revised: 06 May 2024
Joana Almeida and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 105 (562,502)

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target prices, forecast accuracy, panel data analysis

25.

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 100 (578,417)

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

26.

Robo Advising and Investor Profiling

Gaspar, R.M. and M. Oliveira (2024). Robo Advising and Investor Profiling. FinTech 3 (1), 102-115.
Number of pages: 14 Posted: 07 Jun 2024
Raquel M. Gaspar and Madalena Oliveira
ISEG and Cemapre/REM, Universidade de Lisboa and AXCO Consulting
Downloads 98 (586,302)

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robo advisor, mean-variance theory, expected utility theory, Sharpe ratio

27.

On the bias of the Unbiased Expectation Theory

França, R. and R.M. Gaspar (2024). On the Bias of the Unbiased Expectation Theory. Mathematics 12 (1), 105, 1-20.
Number of pages: 20 Posted: 01 Dec 2023 Last Revised: 06 May 2024
Renato França and Raquel M. Gaspar
Willis Towers Watson and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 96 (594,237)

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Spot rates, Forward rates, Expectation Hypothesis, Vasicek model, CIR model

28.

Security Selection and Post-modern Portfolio Theory: An Application to the European Stock Market

in Mean-Variance Theory: applications and risks, ISBN 978-989-20-9276-8, Chapter 2, pp. 33-62, 2018
Number of pages: 30 Posted: 13 Oct 2023
Raquel M. Gaspar and Emilia Rocha
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 80 (664,055)

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Mean-variance theory, post-modern portfolio theory

29.

Consumer Confidence and Stock Markets' Returns

Number of pages: 33 Posted: 25 Mar 2024
Raquel M. Gaspar and Xu Jiaming
ISEG and Cemapre/REM, Universidade de Lisboa and affiliation not provided to SSRN
Downloads 72 (704,981)

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Consumer confidence index, Stock returns, Granger causality

30.

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 71 (710,464)

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

31.

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 67 (733,140)
Citation 3

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32.

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

Portuguese Economics Journal 22(1), 49-79.
Number of pages: 31 Posted: 18 May 2018 Last Revised: 11 Oct 2023
Raquel M. Gaspar and Paulo M. Silva
ISEG and Cemapre/REM, Universidade de Lisboa and Lusitania
Downloads 65 (744,901)

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

33.

Model Risk Embedded in Return Generating Models

in Mean-Variance Theory: applications and risks, ISBN 978-989-20-9276-8, Chapter 3, pp. 65-94, 2018
Number of pages: 30 Posted: 13 Oct 2023
Augusto Frade and Raquel M. Gaspar
Independent and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 64 (751,052)

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Mean-variance theory, constant correlation model, multi-factor model

34.

Convexity Adjustments

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, R. Cont, ed., Wiley, 2009
Number of pages: 6 Posted: 07 Mar 2009 Last Revised: 20 Sep 2023
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 63 (763,609)

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

35.

Relativistic Option Pricing

Carvalho, V.H. and R.M. Gaspar (2021). Relativistic Option Pricing. International Journal of Financial Studies, 9 (2), 32.
Number of pages: 24 Posted: 07 Jun 2024
Vitor H. Carvalho and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 50 (848,993)

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econophysics, spacetime finance, proper time, time dilation

36.

Portfolio Performance of European Target Prices

Almeida, J. and R.M. Gaspar (2023). Portfolio performance of European target prices, Journal of Risk and Financial Management, 16 (8), 347.
Number of pages: 28 Posted: 07 Jun 2024
Joana Almeida and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 40 (936,077)

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target prices, portfolio performance, mean-variance theory

37.

Financial Distress in European Vineyards and Olive Groves

Céu, M.S. and R.M. Gaspar (2024). Financial Distress in European Vineyards and Olive Groves. New Medit - A Mediterranean Journal of Economics, Agriculture and Environment XXIII (1), 31-55.
Number of pages: 23 Posted: 07 Jun 2024
Mário S. Céu and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 38 (955,640)

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Agriculture, Financial distress, Prediction models, ROC curves

38.

Evolution of Tangent Portfolios for European Stock Market from 2000 to 2014

Mean-Variance Theory: Applications and Risks, ISBN 978-989-20-9276-8, Chapter 1, pp. 3-32, 2018
Number of pages: 30 Posted: 27 Nov 2023
Raquel M. Gaspar and Maria Ines Trindade
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 38 (955,640)

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mean-variance theory, european stocks

39.

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

Journal of Statistical Theory and Practice, 14 (30), 2020
Number of pages: 17 Posted: 04 Aug 2020 Last Revised: 19 Sep 2023
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
Downloads 30 (1,039,380)

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40.

Efficiency of Microfinance Institutions: Analysis of Southern African Development Community (SADC) Member Countries

Agostinho, E. and R.M. Gaspar (2021). Efficiency of Microfinance Institutions: an analysis of Southern African Development Countries. Journal of Business & Economic Policy, 8 (1), 12-23.
Number of pages: 12 Posted: 07 Jun 2024
Elsa Agostinho and Raquel M. Gaspar
Technical University of Lisbon (UTL) - Advance Research Center and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 27 (1,074,007)

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Microfinance, Financial Efficiency, Social Efficiency, DEA, SADC

41.

Vegetative Cycle and Bankruptcy Predictors of Agricultural Firms

Céu, M.S. and R.M. Gaspar (2022). Vegetative cycle and bankruptcy predictors of agricultural firms. Agricultural Economics 68 (12): 445-454.
Number of pages: 10 Posted: 07 Jun 2024
Mário S. Céu and Raquel M. Gaspar
ISEG, Universidade de Lisboa and ISEG and Cemapre/REM, Universidade de Lisboa
Downloads 20 (1,159,618)

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agriculture, bankruptcy prediction, financial ratios, non-perennial, perennial

42.

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
Number of pages: 28 Posted: 04 Jul 2008 Last Revised: 20 Sep 2023
Alfredo D Egidio dos Reis, Raquel M. Gaspar and Ana Teresa Vicente
Technical University of Lisbon (UTL) - School of Economics and Management, ISEG and Cemapre/REM, Universidade de Lisboa and ISP - Instituto de Seguros de Portugal
Downloads 20 (1,159,618)

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

43.

On the Pricing of CDOs

CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Number of pages: 30 Posted: 04 Jul 2008 Last Revised: 20 Sep 2023
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 20 (1,159,618)
Citation 1

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

44.

In Memoriam: Tomas Björk (1947–2021). On his Career and Beyond

Gaspar, R.M. and M. Khapko (2023). In memoriam: Tomas Björk (1947-2021), On his career and beyond. Finance and Stochastics 27 (4) , 867-885.
Number of pages: 19 Posted: 07 Jun 2024
Raquel M. Gaspar and Mariana Khapko
ISEG and Cemapre/REM, Universidade de Lisboa and University of Toronto - Finance Area
Downloads 13 (1,243,791)

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In memoriam, Legacy, Financial mathematics, Interest rate theory, Time-inconsistent control, Pedagogical impact, Mentorship

45.

On Risk Parity Performance

Filho, E. and R.M. Gaspar (2024). On risk parity performance. The Journal of Portfolio Management 50 (5), 103-131.
Posted: 07 Jun 2024
Émerson Filho and Raquel M. Gaspar
KPMG and ISEG and Cemapre/REM, Universidade de Lisboa

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risk parity, mean-variance theory, portfolio performance

46.

Empirics on CPPIs

Posted: 18 May 2018 Last Revised: 11 Oct 2023
Raquel M. Gaspar
ISEG and Cemapre/REM, Universidade de Lisboa

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Portfolio Insurance, Design Risk, CPPI, Empirical Simulation

47.

Empirical Simulation Analytics in Financial Engineering

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

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Empirical Simulation, Big Data, Risk analytics