Hi guys
The problem can be fixed with physics.
Using GP4 Physics Editor and changing the following parameters:
Mass --> increase the value
Inertia --> increase the value
Tires Slip Angle --> take care with values lower than -6
This was the solution in my case. Maybe in other cases you can just change 1 or 2 parameters.
Thanks a lot to Pedro, Mailson and n00binio for trying to help giving me some directions to find a solution.
Best
Jose