Three Essays on Systemic Risk.

Summary Systemic risk played a key role in the spread of the last global financial crisis. many measures of systemic risk have been developed to assess the contribution of a financial institution to system-wide risk. However, many questions regarding the ability of these measures to identify systemically important financial institutions (SIFIs) have been raised since systemic risk has multiple facets and some of them are difficult to identify, such as similarities between financial institutions.The general objective of this thesis in finance is therefore (i) to propose an empirical solution to identify SIFIs at the national level, (ii) to compare theoretically and empirically different measures of systemic risk and (iii) to measure changes in banks' risk exposures.First, chapter 1 proposes an adjustment of three market-based measures of systemic risk designed in an international framework to identify SIFIs at the national level. Second, chapter 2 introduces a common model in which several measures of systemic risk are expressed and compared. It is theoretically established that these systemic risk measures can be expressed in terms of traditional risk measures. Empirical application confirms these results and shows that these measures are not able to capture the multidimensional nature of systemic risk. Finally, Chapter 3 presents the Factor Implied Risk Exposures (FIRE) methodology for decomposing a change in a bank's risk measure into two components, the first representing market volatility and the second representing the bank's risk exposure. This chapter empirically illustrates that changes in risk exposures are positively correlated across banks, which is consistent with the fact that banks have similarities in their market positions.