This survey is devoted to the statistical analysis of duration models and pointprocesses. The first section introduces specific concepts and definitions forsingle-spell duration models. Section two is devoted to the presentation ofconditional duration models which incorporate the effects of...

A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...

High frequency transaction prices exhibit two major cha racteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

This paper reviews the fund ratings based on Sharpe performance measures. We define a battery of performance measures in a mean-variance framework. They differ by the information taken into account in their computation, but also by the potential use of the fund by the investor. We apply these...

This paper analyses how an external adverse shock will impact the financial situations of banks and insurance companies and how it will diffuse among these companies. In particular we explain how to disentangle the direct and indirect (contagion) effects of such a shock, how to exhibit the...