If (Xi, i[set membership, variant]) is a strictly stationary process with marginal density function f, we are interested in testing the hypothesis H0: {f=f0}, where f0 is given. We consider different test statistics based on integrated quadratic forms measuring the proximity between fn, a...

[fre] Afin de bien comprendre ces questions, nous commencerons par rappeler le principe des notations et classements à partir d’exemples simples. Les illustrations développées dans ce papier montrent que notations et classements dépendent de l’horizon d’investissement, de...

[fre] Le développement récent des marchés financiers s'est accompagné d'une utilisation croissante de techniques et de modèles mathématiques. Dans cet article, nous discuterons le pourquoi d'une telle évolution, en essayant de dégager les apports principaux de cette mathématisation, et...

In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

We define, in a dynamic framework, the notions of binding functions, images, reflecting sets, indirect identification, indirect information, and encompassing. We study the properties of the notion of encompassing when the true distribution does not necessarily belong to one of the two competing...

We discuss the econometric features of securitization: descriptive or structural analysis of prepayment behaviours, consequences on the pricing of mortgage backed securities. We insist on the distinction between disaggregated approaches based on individual loans, and aggregated ones based on...

We discuss the main opened questions related to credit risk, that is the default risk of a borrower. These questions concern the prediction of default (term structure of default, default correlation, recovery rate, determination of the required capital), the pricing of debts (according to risk...