Biography
Raquel M. Gaspar, PhD in Finance from the Stockholm School of Economics, is also Post-Graduate in Risk Management and Derivatives from IDEFE, Nova Forum, and IMC; Master in Applied Mathematics for Economics and Management from ISEG; and Bachelor in Economics from Universidade Nova de Lisboa.
Her area of expertise lies in stochastic finance, but she has also research work in broader areas such as risk management, structured products, and portfolio management. Her work has been presented in academic seminars and conferences worldwide and published both in academic journals and industry-oriented books.
She presently holds the position of Associate Professor with Habilitation at ISEG, Universidade de Lisboa. In this capacity, she serves as the scientific coordinator of the Master in Finance and is a member of the scientific commission for the Post-graduation program in Financial Analysis.
Besides her academic career, she has been occasionally involved in the industry as consultant, since 1998.
Education
| 2018 | Aggregation, Sciences de Gestion, Finanças ISEG - Universidade de Lisboa (Portugal) |
| 2006 | Doutoramento em Finance Stockholm School of Economics (Sweden) |
| 2001 | Mestrado em Matemática Aplicada à Economia e Gestão ISEG - School of Economics and Management, Universidade de Lisboa (Portugal) |
| 1998 | Licenciatura em Economia Universidade Nova de Lisboa (Portugal) |
Publications & Citations
Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | On risk parity performance. Journal of Portfolio Management |
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| 2024 | Financial Distress in European Vineyards and Olive Groves. New Medit |
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| 2024 | Robo Advising and Investor Profiling. FinTech |
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| 2024 | On the Bias of the Unbiased Expectation Theory Mathematics |
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| 2024 | Design risk: the curse of constant proportion portfolio insurance Journal of Investment Strategies |
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| 2023 | Investors’ perspective on portfolio insurance: Expected utility vs prospect theories Portuguese Economic Journal |
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| 2023 | Portfolio performance of European target prices Journal of Risk and Financial Management |
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| 2023 | In memoriam: Tomas Björk (1947-2021). Finance and Stochastics |
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| 2022 | Vegetative cycle and bankruptcy predictors of agricultural firms Agricultural Economics |
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| 2021 | Relativistic Option Pricing International Journal of Financial Studies |
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| 2021 | Accuracy of European Stock Target Prices Journal of Risk and Financial Management |
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| 2021 | Efficiency of Microfinance Institutions: Analysis of Southern African Development Community (SADC) Member Countries Journal of Business and Economic Policy |
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| 2020 | Trust in financial markets: The role of the human element Revista Brasileira de Gestao de Negocios |
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| 2020 | Neural Network pricing of American put options Risks |
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| 2020 | Pulled-to-par returns for zero-coupon bonds historical simulation value-at-risk Journal of Statistical Theory and Practice |
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| 2017 | On swap rate dynamics: to freeze or not to freeze? International Journal of Computer Mathematics |
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| 2017 | Default propensity implicit in pulled to par VaR for bonds Discussiones Mathematicae: probability and statistics |
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| 2015 | Investment Analysis of Autocallable Contingent Income Securities Financial Analysts Journal |
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| 2015 | Brownian bridge and other path-dependent gaussian processes vectorial simulation. Communications in Statistics - Simulation and Computations |
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| 2014 | Portfolio insurance - a comparison of naive versus popular strategies Insurance Markets and Companies: Analyses and Actuarial Computations |
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| 2013 | Counterparty and liquidity risk: analysis of the France Telecom negative basis Cadernos do Mercado de Valores Mobiliários |
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| 2012 | Machine Learning Vasicek model calibration with Gaussian processes Communications in Statistics - Simulation and Computations |
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| 2010 | Comment on "Better to Give than to Receive" by Francis X.Dielbold and Kamil Yilmaz International Journal of Forecasting |
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| 2010 | Liquidity Risk and Solvency II Insurance Markets and Companies: Analyses and Actuarial Computations |
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| 2010 | Interest Rate Theory and Geometry Portugaliae Mathematica |
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Chapter
| Year | Title / Publication | Link |
|---|---|---|
| 2022 | O impacto das microfinanças no crescimento económico da região Austral de África Sílabo |
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| 2018 | Evolution of Tangent Portfolios for European stock market from 2000 to 2014 Author Edition |
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| 2018 | Security Selection and Post-modern portfolio Theory an application to the European Stock market Author Edition |
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| 2018 | Model risk embedded in return generating models Author Edition |
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| 2018 | Estimation risk and robust mean variance Author Edition |
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| 2006 | On finite dimensional realizations of Markovian realizations of forward price term structures Springer-Verlag |
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Working Papers
| Year | Title / Publication | Link |
|---|---|---|
| 2014 | Historical VaR for bonds - a new approach SSRN Working Paper series |
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Paper presented at academic or professional meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2018 | Empirics on Portfolio Insurance Design Risk: The Case of CPPIs |
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| 2018 | Trust in Financial Markets: the role of the human element |
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| 2018 | Empirics on CPPI Design Risk |
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| 2018 | Design Risk - the case of CPPI strategies |
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| 2017 | On CPPI path dependencies |
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| 2017 | Design risk - the curse of CPPI products |
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| 2017 | Empirical simulation analytics in financial engineering |
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| 2017 | Change of numeraire with arbitrary process |
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| 2016 | On CPPI path dependencies |
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| 2016 | On path-dependencies of portfolio insurance strategies |
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| 2016 | Historical VaR for bonds - a new approach |
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| 2016 | On CPPI path dependencies |
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| 2015 | Interbank adjustments for FRAs |
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| 2015 | Interbank adjustments for FRAs |
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| 2015 | On swap rate dynamics: to freeze or not to freeze? |
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| 2014 | Historical VaR for bonds |
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| 2013 | Credit Risk Modelling with shot-noise processes |
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| 2013 | Expectation Hypothesis Bias – risk aversion versus stochastic adjustment |
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| 2012 | On convexity sdjustments: the case of ATS models |
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Invited in academic conference
| Year | Title / Publication | Link |
|---|---|---|
| 2018 | Lisbon Financial Mathematics 2018 5th Edition - Winter Meeting |
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| 2017 | 2nd Workshop on Financial Mathematics - models and statistical methods |
Proceedings from scholarly meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2018 | Trust in Financial Markets: the role of the human element WCQR |
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| 2018 | Empirics on CPPI Design Risk IMPA - Instituto de Matematica Pura e Aplicada |
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| 2014 | Historical VaR for bonds - a new approach Portuguese Finance Network |
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| 2014 | One factor machine learning Gaussian short rate Portuguese Finance Network |
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Book
| Year | Title / Publication | Link |
|---|---|---|
| 2018 | Mean-Variance Theory: Applications and Riks Author Edition |
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| 2006 | Credit Risk and Forward Price Models EFI - The Economi Research Institute, Stockholm School of Economics |
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| 2001 | Sobre of efeito da correlação entre rendibilidades e volatilidade do activo subjacente na valorização de opções Euronext |
Teaching
2024/2025
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 1º | Non Financial Risks | Mestrado Bolonha em Finanças - Finance | Yes |
| 1º | Investments and Portfolio Management | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance, Mestrado Bolonha em Finanças - Finance | Yes |
| 1º | Financial Markets and Investments / Mercados e Investimentos Financeiros | Mestrado Bolonha em Ciências Actuariais - Actuarial Science, Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance, Mestrado Bolonha em Econometria Aplicada e Previsão - Econometria Aplicada e Previsão | Yes |
| Year | Student Name / Title / Institution | Supervision Type | Link |
|---|---|---|---|
| 2023/2024 | SORAIA FILIPA PEREIRA FRANCISCO THE TERM STRUCTURE OF DISCOUNT RATES: A TOP-DOWN APPROACH |
Master | Ver |
| 2023/2024 | DAVID DE SOUSA SANTANA RECOVERY STRATEGY FOLLOWING A STANDARD CAPITAL REQUIREMENT BREACH Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | SIMONE AVANZINI INVESTMENT POLICY STATEMENT: INTESA SANPAOLO VITA LONG-TERM LINE Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | CAROLINA HENRIQUES DE OLIVEIRA INVESTMENT POLICY STATEMENT: LUSITANIA INVESTMENT FIXED RATE Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | YAN WU INVESTMENT POLICY STATEMENT FOR INDIVIDUAL INVESTORS: MR. JAMES SMITH Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | DIOGO MIGUEL MARTINHO PEREIRA PRIIP analysis: Express Certificate Linked to MSCI Emerging Markets Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | GONÇALO DE JESUS ALVES BALSEMÃO PIRES Portfolio implications of MREL Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | INÊS FILIPA RICO LOPES Financial Literacy, Risk Tolerance and Asset Allocation in Portugal Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | INÊS MARIA PEREIRA LEITÃO MAXIMIZING PROFITABILITY IN SAVINGS LIFE INSURANCE Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | JOANA LACERDA ALEGRE EDUARDO Historical Vs Simulation Based Risk Measures Instituto Superior de Economia e Gestão |
Master | Ver |
| 2023/2024 | MAXWELL GEORGE CATTERMOLE Electricity Spot Price Modelling: Benefits and Limitations of Selected Methodologies |
Master | Ver |
| 2022/2023 | MÁRIO RAÚL SANTIAGO DO CÉU ISEG - LISBOA SCHOOL OF ECONOMICS & MANAGEMENT |
PhD | |
| 2022/2023 | ANTÓNIO MANUEL BARBOSA DE ARAÚJO PEREIRA ELIAS Backtesting and Performance Review of two pairs trading strategies Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | JOÃO PEDRO PERALTA ROXO PRIIP Valuation and Risk Profile Analysis: Fixed coupon express certificate linked to the Eurostoxx 50 index Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | MIGUEL RAMOS DE ALMEIDA PRIIP Valuation, Backtesting and Performance Assessment: Fixed coupon express certificate linked to the Eurostoxx 50 index Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | CATARINA DELGADO VAZ SIMÕES MARCÃO PRIIP Valuation and Risk Analysis: Fixed coupon express certificate linked to the Eurostoxx 50 index Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | CAROLINA TORRES FURTADO PRIIP Valuation and Sensitivity analysis: Fixed coupon express certificate linked to the Eurostoxx 50 index Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | PEDRO AIRES CONDE LAVADO DOS SANTOS Investment Policy Statement: Lusitânia Workman's compensation Portfolio Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | DIOGO RODRIGUES CORDEIRO Investment Policy Statement: Lusitânia Portfolio of Pensions with Compensations Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | ANA CATARINA EMÍDIO MARTINS Investment Policy Statement: Lusitânia Non-life portfolio (Excl. WC) Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | LIVESH BISSESSUR INVESTMENT POLICY STATEMENT: LUSITANIA FREE PORTFOLIO Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | ANTÓNIO MIGUEL DE JESUS PEREIRA The case on Netherland's Bouwen & Pensioen: Rethinking Pension Investing Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | XU JIAMING On the relationship between changes in consumer confidence and stock market returns: a global analysis Instituto Superior de Economia e Gestão |
Master | Ver |
| 2019/2020 | MADALENA MENDES DE ALMEIDA ESTEVES DE OLIVEIRA On Robo assessment of Risk Profiles |
Master | Ver |
| 2019/2020 | ÉMERSON BITARÃES DE MOURA FILHO Risk Parity Approach to Portfolio Selection |
Master | Ver |
| 2019/2020 | JULIANA GONZALEZ FIGUEIREDO Performance of Robo-advisors versus Mean-variance Theory |
Master | Ver |
| 2018/2019 | BERNARDO PINTO MACHADO PORTUGAL SEQUEIRA American Put Option Pricing - a comparison between Neural Networks and Least-square Monte Carlo method |
Master | Ver |
| 2018/2019 | ALESSANDRA ALVES RODRIGUES A Mean-Variance look at Robo Advising |
Master | Ver |
| 2018/2019 | JOANA RAQUEL NEVES ALMEIDA Performance of Target Prices |
Master | Ver |
| 2018/2019 | PATRÍCIA DA SILVA MACEDO The Impact of Financial Development on Stock Market Calendar Effects |
Master | Ver |
| 2016/2017 | SOFIA MARIA LIMA FERNANDES GONÇALVES The impact of liquidity and solvency constraints in European banks' efficiency |
Master | Ver |
| 2016/2017 | CARLOS AUGUSTO ZERPA FRADE Performance of Return models - a portfolio theoretical approach |
Master | Ver |
| 2015/2016 | RICARDO CLÁUDIO GOMES The use of gold in stock portfolios |
Master | Ver |
| 2015/2016 | FÁBIO ROBERTO MATIAS COTRIM How frequently should portfolios be rebalanced? |
Master | Ver |
| 2015/2016 | EMÍLIA MARÍLIA DE LIMA ROCHA Security selection in post-modern portfolio theory: an application to the European stock market |
Master | Ver |
| 2015/2016 | FILIPE JOÃO DA ASSUNÇÃO JANEIRO Volatility Adjusted Momentum Strategy: Implementation and Performance Evaluation |
Master | Ver |
| 2015/2016 | MARIANA DA COSTA FERREIRA Investment strategies of a non-life insurance company under Solvency II |
Master | Ver |
| 2014/2015 | JOANA ANDREIA COSTA DA SILVA Calibration of Term Structure Models - analysis of the impact of the 2007-2012 Financial crisis |
Master | Ver |
| 2014/2015 | JOÃO CARLOS TENENTE DA SILVA FOOD MICROBIOLOGY LABORATORY AT HUAMBO PROVINCE - An Economic and Financial Viability Study |
Master | Ver |
| 2014/2015 | MARIA INÊS VALENTE PEREIRA TRINDADE SANTOS Evolution of tangent portfolios: an analysis of the European industries from 2000 to 2014 |
Master | Ver |
| 2014/2015 | FILIPE JOÃO DA ASSUNÇÃO JANEIRO Default Correlation and its Impact on Credit VaR |
Master | |
| 2014/2015 | JOÃO NUNO MARTINS CARDOSO Robust Mean Variance |
Master | Ver |
| 2014/2015 | CLÁUDIA DELFINA FERREIRA AMARO Contingent Convertible (CoCos) Bonds: an analysis of embedded options |
Master | Ver |
| 2013/2014 | GONÇALO ANDRÉ NUNES PEREIRA Modelling Sovereign Debt with Lévy Processes |
Master | Ver |
| 2013/2014 | RICARDO FILIPE GODINHO MIRANDA DAS NEVES Clearing Credit Default Swaps - an new look into the basis |
Master | Ver |
| 2013/2014 | VELMA DE JESUS RODRIGUES Fitting the Term Structure of Yield Spreads |
Master | Ver |
| 2013/2014 | JOÃO FILIPE DIAS DE CARVALHO On the Debt-Equity link: evidence from European markets |
Master | Ver |
| 2013/2014 | FILIPE AMARAL ANAHORY VILLARINHO PEREIRA Equity Research - The VORTAL case |
Master | Ver |
| 2013/2014 | JOÃO CARLOS LEÇA ESTRÓCIO FERNANDES Bond Value-at-Risk: a comparison of methods |
Master | Ver |
| 2012/2013 | MARINA PEREIRA RUIVO Risco de Modelo: Análise à Robustez do CreditMetrics |
Master | Ver |
| 2012/2013 | JOÃO PEREIRA CARVALHO Portfolio Insurance Strategies:An Analysis of Path Dependencies |
Master | Ver |
| 2012/2013 | TIAGO VIRGÍLIO TEIXEIRA SANTOS SEVERINO Apostas online - O caso da Primeira liga de Futebol Portuguesa |
Master | Ver |
| 2012/2013 | RUI MIGUEL CAMPOS GOMES O papel dos CDS na (in)estabilidade do mercado financeiro |
Master | Ver |
| 2012/2013 | JOÃO PEDRO BARATA CORREIA Are CDOs the beauty or the beast of Financial Markets? |
Master | Ver |
| 2011/2012 | SÓNIA MELÂNIA OLIVEIRA VAZ How efficient is the Portuguese Stock Market? |
Master | Ver |
| 2011/2012 | LILIANA SOFIA REIS GARCIA Selecção de títulos e timing em fundos accionistas Portugueses |
Master | Ver |
| 2011/2012 | DIOGO OOM DE SOUSA TOVAR JALLES Weak-form efficiency of equity energy exchange traded funds |
Master | Ver |
| 2011/2012 | DIOGO FRANCISCO FERREIRA BELCHIOR Implied volatility as a forecast for future volatility: evidence from european market |
Master | Ver |
| 2011/2012 | RUI JORGE CARMO PEREIRA DA SILVA Risk Profiling and the DOSPERT Scale: An Approach Using Prospect Theory |
Master | Ver |
| 2011/2012 | LICINIA MARIA FERREIRA DUARTE Gestão Ativa e Desempenho de Fundos de Ações Portugueses |
Master | Ver |
| 2011/2012 | ANA TORRE DO VALLE DE ARRIAGA E CUNHA Cumulative Prospect Theory: A Parametric Analysis of the Functional Forms and Applications |
Master | Ver |
| 2011/2012 | RAQUEL DE SOUSA PEREIRA PINHO FIGUEIRA Hedging of Product Import in the Oil Industry: The Case of Currency Risk |
Master | Ver |
| 2011/2012 | PAULO TOMAZ REBELO Price Moving Average and Volume |
Master | Ver |
| 2011/2012 | RICARDO JORGE DA GRAÇA RODRIGUES DE ALMEIDA Analysis of portfolio insurance strategies based upon empirical densities |
Master | Ver |
| 2011/2012 | FRANCISCO BARROS E CARVALHOSA DE CASTELO BRANCO Pairs Trading Performance and Implications Applied to the Portuguese Market |
Master | Ver |
| 2011/2012 | SIMONE CRISTINA DE MACEDO FERREIRA Spillovers across PIIGS bonds |
Master | Ver |
| 2011/2012 | PEDRO RICARDO PROENCA MELO Credit dependencies: an analysis of European CDS and CDO contracts |
Master | Ver |
| 2011/2012 | JOANA INES BOTELHO LAZARO CAPM nos mercados Europeu e Português |
Master | Ver |
| 2010/2011 | INÊS GUERREIRO GOMES Os Determinantes dos spreads soberanos: uma análise nos PIGS |
Master | Ver |
| 2010/2011 | JORGE FILIPE BAPTISTA DA COSTA Portfolio Insurance: a comparison of alternative investment strategies |
Master | Ver |
| 2010/2011 | VLADIMIR JOÃO DE OLIVEIRA LOPES DIAS DA FONSECA Counterparty and Liquidity Risk: an analysis of the negative basis |
Master | Ver |
| 2010/2011 | PAULO JOSÉ MARTINS JORGE DA SILVA Determinants of Corporate Risk using Option-Adjusted Spreads: The case of Portugal |
Master | Ver |
Professional Experience
| Name / Description | Date | Organization |
|---|---|---|
| Coordenador de curso de Mestrado em Finanças Coordenador de curso |
2022 | ISEG |
| Membro da Comissão Científica e Pedagógica do Mestrado em Finance Coordenador de curso |
2016 - 2022 | ISEG |
| Teacher Assistant |
2002 - 2005 | Stockholm School of Economics |
| Teacher Assistant |
1999 - 2001 | Facul. de Economia da Universidade Nova de Lisboa |