Systemic risk measures, banking supervision and financial stability.

Summary This thesis analyzes the sources of inefficiency that can generate systemic risk in the financial system and studies the different associated measures. The first article presents a review of the literature on systemic risk and macroprudential policy: 1) the negative effects of procyclicality for the financial system as a whole as well as for the real economy 2) the risk of contagion between financial institutions. The second paper of the thesis proposes a new measure of systemic risk to effectively capture the systemic importance of each financial institution within a given system. The third paper of the thesis analyzes the debt structure of banks. Banks choose the maturity of their debt in the short and/or long term. The negative externalities generated by the excess of short-term financing only appear when the probability of a macroeconomic shock is sufficiently large.