AVIS DE SOUTENANCE
Transcription
AVIS DE SOUTENANCE
AVIS DE SOUTENANCE M. ZHILI CAO Soutiendra sa thèse en vue de l'obtention du diplôme Doctorat en Sciences de Gestion Le: 19 mars 2013 à 14h00 salle des thèses Sur le sujet: Systemic risk measures, banking supervision and financial stability. Le jury se compose comme suit: Qualité Etablissement Rôle Mme CATHERINE CASAMATTA PROFESSEUR DES UNIVERSITES UNIVERSITE TOULOUSE 1 Directeur de recherches M. LAURENT CLERC REGULATEUR BANQUE DE FRANCE Membre du jury M. CHRISTOPHE PERIGNON PROFESSEUR ASSOCIE HEC PARIS Rapporteur du jury M. JEAN-CHARLES ROCHET PROFESSEUR DES UNIVERSITES Université de Zurich Codirecteur de recherches M. JAVIER SUAREZ PROFESSEUR CEMFI Rapporteur du jury Nom Résumé de la thèse This thesis analyses the inefficiencies which may trigger the systemic risks in the financial market and studies the related measures to quantify such risks. The first article surveys the systemic risk in the financial system and the related macro-prudential policy. The systemic fragility of a financial system is embodied in two dimensions: the time dimension and the cross-sectional dimension. The former states that the pro-cyclicality effect is harmful to the whole financial system as well as to the real economy. The latter studies the contagion risk among financial institutions and the fact that the fire-sale externality also comes with a cost that banks have no incentive to internalize ex-ante. Given these effects, the systemic risk measures can help policy makers design the regulatory tools more efficiently. The second article of thesis proposes a new systemic risk measure to efficiently capture the systemic importance of each financial institution within a given system. The term systemic risk refers to the contagion risk to which each bank contributes to the financial system. The whole procedure is split into two parts: 1) calculate the total systemic risk, 2) use an allocation rule to attribute the total risk to each financial institution. For the first step, I define a measure Multi-CoVaR to estimate the total systemic risk, which also measures the institution s marginal contribution to the systemic risk given that a set of institutions is in distress. For the second step, I apply the Shapley value methodology to allocate the total systemic risk. The additivity property of Shapley value ensures that the macro-prudential tool can be efficiently implemented at the individual level. The third article of thesis analyses the debt structure in the banking sector. Banks choose their debt maturity structure by weighting short term against long term debt. When using short term debt, banks refinancing need is triggered by an exogenous macro productivity shock. At the competitive equilibrium: 1: the probability of liquidity crisis, 2. the expected excess refinancing cost, 3: bank s profit, decrease with the probability of experiencing the macro shock. While using long term debt, banks do not need to refinance, yet, they may misbehave due to a lack of interim discipline. The equilibrium borrowing contract should rule out banks misbehavior, which limits banks lending capacity. Banks choose short term maturity when they expect a macro shock to occur with a small probability. From a social perspective, the externalities caused by over borrowing in short term debt exist only in the case that the probability of macro shock is large; otherwise, the social optimum coincides with the market equilibrium. Our result points out externality correction tool may only be needed when the probability of macro shock is large. This suggests regulators themselves should be prudential on implementing liquidity regulations. Mots clés systemic risk, macro-prudential policy, fire-sales externality, systemic risk measures, systemic importance, contagion risk, Shapley value, macroprudential regulation, debt maturity, moral hazard, disciplining role, refinancing risk, liquidity risk. Université Toulouse 1 - Capitole, 2 rue du Doyen marty 31042 Toulouse Cedex 9 Téléphone: 05 61 63 35 00 - Télécopieur:05 61 63 37 98 - URL:http://www.univ-tlse1.fr Toulouse, le 12/03/2013