Analysis and measurement of systemic risk.

Summary This thesis contributes in four chapters to the analysis and measurement of systemic risk. The first chapter discusses the notion of systemic risk and details the methodological issues of its modeling. The second chapter proposes a structural model of solvency contagion. This equilibrium model allows us to measure the risk of contagion by distinguishing the direct effect of a shock from its propagation. In the third chapter, we provide a framework for valuing an institution's debt that takes into account the effect of interconnections between institutions. We calculate a risk premium specifically related to interconnections. In the fourth chapter, we model the joint effects of shocks to the assets and liabilities of a financial institution. We adapt standard risk measures to identify market, funding, and market liquidity risks. Finally, we explain how to determine the composition and level of regulatory reserves to limit default risk.