Three essays on modeling market and funding liquidity.

Summary Market liquidity refers to the ability to trade a financial asset quickly without losing value relative to its fundamental value. This liquidity is a source of risk but also of reward. In this thesis we focus on both aspects. We propose a new methodology to estimate the remuneration of liquidity risk based on unobserved component models. In terms of risk, we propose to combine density predictions from different models to better predict liquidity at the high-frequency scale. We also model funding liquidity. This corresponds to the capacity for an agent to continuously honor its commitments by finding financing. In particular, we study the funding liquidity risk in the banking system, which is of primary importance as demonstrated by the major role it played in the 2008 financial crisis. We propose several new measures of this risk to assess the exposure of banks. Our model also allows us to evaluate so-called extreme situations and to measure the contagion of this risk between institutions.