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Analyse et mesure du risque systémique

Editor

Listed:
  • Gourieroux, Christian

Author

Listed:
  • Héam, Jean-Cyprien

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.

Suggested Citation

  • Héam, Jean-Cyprien, 2015. "Analyse et mesure du risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14985 edited by Gourieroux, Christian.
    • Handle: RePEc:dau:thesis:123456789/14985
    Note: dissertation
    as

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    More about this item

    Keywords

    Risque systémique; Politique macroprudentielle; Contagion; Liquidité; Systemic risk; Macroprudential policy; Liquidity;
    All these keywords.

    JEL classification:

    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G01 - Financial Economics - - General - - - Financial Crises
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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