An empirical analysis of systemic risk in commodity futures markets.

Summary This thesis aims to analyze the systemic risk on commodity futures markets. Indeed, several research works highlight the importance of these futures in the determination of the physical price of commodities. Their incorporation into traditional finance as a diversifying asset has led to a similar price evolution to that of various financial assets since about 2004. The question that motivated this thesis was therefore to quantify this systemic risk (since it affects commodities, which are directly involved in the real economy), to see precisely the means of transmission (which markets affect which other markets) and finally to allow for an evaluation of the consequences, for example, based on scenarios (stress tests). It therefore makes it possible to develop market surveillance tools and could therefore contribute to the regulation of these markets.