Preheat the oven to 200 C / Gas 6. Line a baking tray with baking parchment.
For the filling:
First make the filling for the crescents by warming the jam slightly (over low heat or in the microwave). Remove from heat, add the walnuts and rum then stir well and set aside.
For the crescent rolls:
For the dough, sift the flour with the baking powder. Make a little well in the middle and pour in the oil and warm water. Stir the dough, first with a wooden spoon, then with your hands, until you form a firm dough that doesn't stick to your hands.
Divide the dough into 2 parts, then roll out each part into a large circle (under 5 millimetres 1/4 inch thick) and cut it into 8 triangles (like pie slices).
Place 1 teaspoon of filling on the wider end of the triangle. Form the rolls by rolling up each triangle, starting at the wider side. Arrange them on the prepared baking tray.
Bake the rolls in a preheated oven for 12 to 15 minutes until risen and soft. Sift the icing sugar and dust the rolls liberally as soon as you take them out of the oven.