Biography
Raquel M. Gaspar, doutorada em Finanças pela Stockholm School of Economics, é ainda Pós-Graduada em Gestão de Riscos e Derivados pelo IDEFE, Nova Fórum e IMC, Mestre em Matemática Aplicada à Economia e Gestão pelo ISEG e Licenciada em Economia pela Universidade Nova de Lisboa.
A sua área de especialização é a das finanças estocásticas, mas tem também desenvolvido trabalhos em áreas mais vastas como as da gestão do risco, produtos estruturados e gestão de carteiras. A sua investigação tem sido apresentada em seminários académicos e conferências internacionais em todo o mundo e publicada tanto em revistas científicas como em livros orientados para a indústria. Colabora ativamente com várias revistas científicas internacionais, quer atuando como revisora, quer pertencendo a conselhos editoriais.
Atualmente é Professora Associada com Agregação no ISEG, Universidade de Lisboa, onde é coordenadora científica do Master in Finance e pertence à comissão científica da Pós-graduação em Análise Financeira.
Para além das suas atividades académicas, desde 1998 colabora pontualmente com a indústria, principalmente como consultora, na área dos produtos estruturados.
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 Economia - Economia, Mestrado Bolonha em Econometria Aplicada e Previsão - Econometria Aplicada e Previsão, Mestrado Bolonha em Matemática Financeira - Mathematical Finance, Mestrado Bolonha em Ciências Actuariais - Actuarial Science | Yes |
| Year | Student Name / Title / Institution | Supervision Type | Link |
|---|---|---|---|
| 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 | INÊS FILIPA RICO LOPES FINANCIAL LITERACY, RISK TOLERANCE AND ASSET ALLOCATION IN PORTUGAL 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 pairs trading: copula versus distance approaches 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 |