Analyse et mesure du risque systémique

Jean-Cyprien Héam

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium model, we measure the contagion by identifying the direct effect of an external shock and its propagation. In the third chapter, we provide a pricing framework for financial institution’s debt encompassing the effect of interconnections between institutions. We compute a risk premium specific to interconnections. In the last chapter, we model the joint effects of the shocks on the asset side and on the liability side of a financial institution. We adapt the usual risk measures to pinpoint the funding liquidity risk and the market liquidity risk. Lastly, we explain how to set the level and the composition of regulatory reserves to control for default risk.

Keywords: Risque systémique; Politique macroprudentielle; Contagion; Liquidité; Systemic risk; Macroprudential policy; Liquidity (search for similar items in EconPapers)
JEL-codes: C58 E58 G01 G18 G21 G28 G33 (search for similar items in EconPapers)
Date: 2015 Written 2015
Note: dissertation
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