Illiquidity, contagion and systemic risk.

Summary This thesis is articulated around three financial risks: liquidity, contagion and systemic risk. The latter have been the focus of attention since the 2007-08 crisis and will continue to be relevant in light of the events that the financial markets are experiencing. The first chapter of this thesis presents a funding liquidity factor obtained by interpreting a contagion phenomenon in terms of market liquidity risk. In the second chapter, we propose a meta-measurement of this market liquidity. The latter takes into account all the dimensions present in the definition of liquidity by looking at the dynamics of several liquidity measures simultaneously. The objective of the third chapter is to present a model of market returns that allows for the inclusion of funding liquidity in the estimation of the DCoVaR. Thus, this work proposes a new measure of systemic risk with countercyclical behavior. Finally, we focus on the non-linearity assumption of the dependence structure between market returns and financial institutions' returns. At the heart of systemic risk measurement, this assumption appears to be restrictive since it has little impact on the identification of the riskiest firms but can considerably complicate the estimation of these measures.