In December 2008, as the financial and economic crisis continued on its devastating course, a new scandal erupted. After the 1998s failure of Long-Term Capital Management, Madoff's fraud once again discredits the hedge funds industry. This scandal is, however, of a different kind. Indeed,...

In this paper, I propose an algorithm combining adaptive sampling and Reversible Jump MCMC to deal with the problem of variable selection in time-varying linear model. These types of model arise naturally in financial application as illustrated by a motivational example. The methodology proposed...

[eng] A Return to Average Rates in the European Exchange Rate Mechanism: 1987-1995 by Jean Sébastien Pentecôte and Thierry Roncalli . This paper studies the effect of the return to average daily rates for the European Exchange Rate Mechanism currencies and the dollar against the deutschemark...

1. Introduction. Part I Risk Management in the Financial Sector. 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidity Risk. 7. Asset Liability Management Risk. 8. Systemic Risk and Shadow Banking System. Part II Mathematical and...