本文利用Gravelle and Li (2013)提出之系統重要性指標來衡量國內九家上市金控銀行對於系統風險之貢獻程度。此種衡量方法係將特定銀行之系統重要性定義為該銀行發生危機造成系統風險增加的幅度，並以多變量極值理論進行機率的估算。實證結果顯示：一、系統重要性最高者為第一銀行；最低者為中國信託銀行。其中除中國信託銀行之重要性顯著低於其他銀行外，其餘銀行之系統重要性均無顯著差異。二、經營期間較長之銀行其系統重要性較高；具公股色彩之銀行對於系統風險之貢獻程度平均而言高於民營銀行。三、銀行規模與其對系統風險之貢獻大致呈現正向關係，即規模越大之銀行其重要性越高。在此情況下可能會有銀行大到不能倒的問題發生。四、存放比較低之銀行系統重要性亦較低，而資本適足率與系統重要性間並無明顯關係。 / In this thesis, we apply the measure proposed by Gravelle and Li (2013) to examine the systemic importance of certain Taiwanese banks. The systemic importance is defined as the increase in the systemic risk conditioned on the crash of a particular bank, and is estimated by the multivariate extreme value theory. Our empirical evidence shows that the most systemically important bank is First Commercial Bank, and the CTBC Bank is significantly less important than other banks, while the differences among the remaining banks are not significant. Second, banks established earlier have higher systemic importance; and the contribution to systemic risk of public banks, on average, is higher than the contribution of private banks. Third, we also find out that the size of a bank and its risk contribution have positive relationship. That is, the bigger a bank is, the more important it is. Under this circumstances, the too big to fail problem may occur. Last, the bank which has lower loan-to-deposit ratio will be less systemically important than those with higher ones, while the relation between capital adequacy ratio and systemic importance is unclear.

Esta dissertação analisa os motivos da implantação do novo sistema de pagamentos brasileiro, descreve os impactos percebidos junto à sociedade e avalia o atual estágio do projeto. Procura mostrar que não houve redução de risco sistêmico, como se pretendia, em função da implantação do novo sistema de pagamentos. Também evidencia que não houve redução de tarifas bancárias com a implantação do mesmo. Descreve que, em função da redução de custos financeiros percebidos com a utilização de avanços tecnológicos, os bancos passaram a apropriar-se dos ganhos em função da forma como foi elaborado o novo sistema, não foi possível identificar qualquer redução de preço nas tarifas bancárias em função de uma maior concorrência. / This dissertation analyzes the motives of the implementation of the new system of Brazilian payments, describes the impacts perceived into the society and evaluates the current stage of the project. The study showed that there was neither reduction of systemic risk nor banking fees after the implementation of the new system of payments. It describes that banks kept the earnings acquired from of the reduction of financial costs perceived with the utilization of technological advancements. The way the new system was setup prevented an identification of any reduction of banking tariffs because of increased market competition.

Compte-tenu du degré de complexité des interconnexions au sein du système financier mondial, mis en avant pendant la crise financière 2007-2009, l'adoption des modèles de réseaux, comme paradigme d'analyse et d'amélioration de la robustesse du système, paraît particulièrement pertinent, sinon nécessaire. Les institutions financières sont vues comme des nœuds d'un réseau où les transactions interbancaires constituent les liens au travers desquels la propagation des chocs se matérialise. En outre, la crise a également mis en évidence le rôle d'un rationnement de la liquidité comme canal majeur de transmission des chocs. Cette thèse examine les interactions entre les tensions sur le marché monétaire, la contagion interbancaire et la structure du réseau, avec une application au marché interbancaire européen et au système de paiement. La contribution de cette étude à la littérature sur les réseaux financiers s'articule autour de trois axes. Le premier est un modèle intégrant trois canaux de propagation des chocs, à l'œuvre durant la crise 2007-2009, à savoir les expositions à un facteur de risque commun, aux risques de contrepartie et, enfin, au risque de liquidité. Le deuxième axe est une application de ce modèle étudiant les expositions interbancaires dans le système financier européen entre 2008 et 2012, et ce, au niveau individuel des agents, i.e. de banque à banque; constituant ainsi, et à notre connaissance, l'unique contribution académique dans ce domaine. Cette étude souligne notamment le rôle de la structure du réseau dans la propagation des chocs et reproduit la fragmentation du marché européen observée en 2011-2012. Enfin, la troisième contribution porte sur la propension des banques à retarder leurs transactions sur la base des données du système de paiement TARGET2. Cette étude souligne une divergence des comportements des banques au niveau de leur gestion de la liquidité intra-journalière. En effet, deux types de comportements se distinguent à cet égard : le premier consiste à fixer un niveau de liquidité initiale suffisant pour répondre aux besoins de la journée et un second qui a tendance à gérer cette liquidité en flux tendus. Les banques adoptant ce deuxième type de comportement sont à l'origine de la majorité des retards de paiements constatés au niveau du système financier. L'ampleur des retards de paiement est par ailleurs fortement corrélée au niveau des tensions sur le marché, constituant de ce fait un indicateur avancé d'une éventuelle crise à venir.Le résumé substantiel n'a pas été fourni par l'auteur / Given the extent and importance of financial interconnectedness in recent years that were particularly underlined by the 2007-2009 financial crisis, the adoption of the network paradigm to analyze and improve robustness of a financial system appears to be fully relevant. Financial institutions are viewed as nodes of a network and their short- or long-term loans extended to each other as links or exposures through which a shock may propagate. Moreover, the same crisis accentuated the role of funding shortage as a channel of shock transmission. This dissertation focuses on the interplay of liquidity stress, interbank contagion and a network structure with application to the European interbank market and payment system. The contribution of this research to the literature on financial networks is threefold. The first develops a model that allows analyzing three contagion channels that happened to be at play during the financial crisis: exposures to a common risk factor; exposures to credit and counterparty risk in the interbank market; exposures to short-term liquidity risk. The second contribution is the unique analysis of cross-border contagion in the European banking system from 2008 to 2012 at the bank level using the developed model. Overall, the study finds the importance of the network structure for the extent of contagion propagation and captures the fragmentation of the market observed in 2011-2012. The third contribution consists of analysis of payment delays in the European payment system TARGET2. More specifically, this chapter provides evidence that banks differ in the way they manage their daily liquidity and can be split into two groups in this regard: those which put enough initial liquidity into the system, and those which economize on liquidity and rely on incoming payments to make outgoing transactions. The second group is responsible for the majority of the delayed payments, particularly during the period of low liquidity in the market, which constitutes an early warning indicator of stress.

Cette thèse a pour objectif de prendre part à la réflexion sur le risque systémique et ses conséquences négatives sur l’économie réelle, et au débat sur la mise en place d’une règlementation macro-prudentielle (effets systémiques) efficace pour l’industrie bancaire en visant la stabilité financière. Pour cela, ce travail contribue à la littérature existante à travers plusieurs aspects. Dans le premier chapitre de cette thèse, sur un échantillon de banques de l’OCDE, nous étudions la manière dont la valeur de la franchise affecte le risque bancaire avant, pendant et après la crise financière mondiale de 2007–2008, en utilisant des mesures de risque individuelles et systémiques. Nous réétudions l’hypothèse de la valeur de la franchise bancaire et son rôle disciplinant au regard de la prise de risque et de l’expansion au risque systémique avant, pendant et après la crise financière. Nous montrons qu’avant la crise, la valeur de la franchise bancaire impacte positivement la prise de risque et le risque systémique non seulement des très grandes banques dites “too-big-too-fail” mais aussi des grandes banques européennes et américaines. Cependant, nos résultats montrent que pendant et après la crise, cet effet s’inverse. En considérant la période d’avant crise, nous allons plus loin dans nos investigations sur la relation entre la valeur de la franchise d’une part et la prise de risque et l’exposition au risque systémique d’autre part, en prenant en compte les effets des différences entre les cultures de prise de risque, la taille des banques et les stratégies bancaires. Le deuxième chapitre analyse la dynamique de la structure du capital des banques en fonction de leur niveau de capital interne ciblé et/ou externe imposé. Plus précisément, il examine plusieurs caractéristiques. (i) si les frictions du marché et les coûts d’ajustement du capital sont plus considérables lorsqu’il s’agit d’ajuster les ratios de fonds propres réglementaires par rapport à un ratio de levier simple. (ii) les mécanismes d’ajustement utilisés par les banques pour ajuster leur ratio de capital. (iii) comment la vitesse d’ajustement et les mécanismes d’ajustement diffèrent entre les grandes banques systémiques et complexes d’une part, et les banques moins systémiques d’autre part. Les résultats suggèrent que les banques sont plus flexibles et plus rapides dans l’ajustement de leur ratio de levier que dans l’ajustement de leurs ratios de capital réglementaire. Tandis que les banques d’importance systémique (SIFI) sont moins réactives que les autres banques dans l’ajustement de leur ratio de levier cible, elles sont néanmoins plus rapides à atteindre leurs ratios réglementaires cibles. D’autres investigations montrent que les SIFIs pourraient être plus réticentes à modifier leur base de capital en émettant ou en rachetant des actions et préfèrent une réduction plus importante ou une expansion plus rapide de leur taille. Dans le dernier chapitre, nous analysons comment la structure organisationnelle internationale et l’expansion géographique de 105 banques européennes cotées qui ont des filiales à travers le monde, pourrait affecter leur importance systémique au cours de la période 2005–2013. Nous examinons également comment le pic de la crise financière mondiale de 2008–2009 et l’ampleur de la crise de la dette souveraine européenne de 2010–2011 pourraient avoir affecté ces relations. Nous montrons que l’internationalisation et la complexité organisationnelle sont des facteurs importants du risque systémique bancaire, en particulier pendant les années de stress financier 2008–2013. / The aim of this thesis is to contribute on the current debate on the systemic risk and its policy implications for the implementation of new (systemic risk-based) capital requirements in the banking industry. We extend the existing literature in many aspects. In the first chapter, we investigate how bank charter value affects risk for a sample of OECD banks by using standalone and systemic risk measures before, during, and after the global financial crisis of 2007–2008. We revisit the self‐discipline role of charter value on bank’s risk-taking and systemic risk prior, during and after the crisis. We show that bank charter value is positively associated with risk-taking and systemic risk for very large “too-big-too-fail” banks and large U.S. and European banks prior to the crisis, but such a relationship is inverted during and after the crisis. Then, we deepen investigation on this relation between charter value and risk-taking and systemic risk prior to the crisis, regarding differences in risk taking cultures, bank size and bank strategies. The second chapter analyzes the dynamics of banks’ capital structure towards their desired and/or imposed capital level. It analyzes several interesting features. (i) whether or not market frictions and capital adjustment costs are larger for regulatory capital ratios vis-à-vis a plain leverage ratio. (ii) which adjustment channels banks use to adjust their capital ratio. (iii) how the speed of adjustment and adjustment channels differ between large, systemic and complex banks versus small banks. Findings suggest that banks are more flexible and faster in adjusting to their leverage capital ratio than to regulatory capital ratios. Whereas, systemically important banks are slower than other banks in adjusting to their target leverage ratio but quicker in reaching their target regulatory ratios. Further explores show that SIFIs might be more reluctant to change their capital base by either issuing or repurchasing equity and prefer sharper downsizing or faster expansion. In the third chapter, we analyze how the international organization structure and the geographic expansion, of 105 European listed banks that have foreign affiliates around the world, could affect bank level measures of systemic risk during the 2005–2013 period. We also investigate how the peak of the global financial crisis of 2008–2009 and the height of the European sovereign debt crisis of 2010–2011 might have affected such relationships. We find that internationalization and foreign complexity are important drivers of bank systemic risk, particularly during the 2008–2013 financial stress years.

Submitted by Fernanda Corrêa Fernandes (ffernandes@fgvmail.br) on 2017-06-22T21:17:19Z No. of bitstreams: 1 Tese Arq.pdf: 1074006 bytes, checksum: 54d5b0fe4ae8e8358bfb2a68be8a60cb (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-06-27T14:31:36Z (GMT) No. of bitstreams: 1 Tese Arq.pdf: 1074006 bytes, checksum: 54d5b0fe4ae8e8358bfb2a68be8a60cb (MD5) / Made available in DSpace on 2017-07-04T19:21:59Z (GMT). No. of bitstreams: 1 Tese Arq.pdf: 1074006 bytes, checksum: 54d5b0fe4ae8e8358bfb2a68be8a60cb (MD5) Previous issue date: 2016-11-26 / This thesis is composed by two chapters. In the first one, I develop a framework to quantify the role of sectoral heterogeneity, with regard to credit access, in explaining the effects of financial integration. Financial frictions generate a misallocation of resources, implying a low total factor productivity and output per worker in emerging economies. Given the existence of sectoral heterogeneity in credit access, these frictions also have disproportionate effects on sectoral variables, as well as on exchange rate. These elements are able to explain some development regularities, as the higher relative price of tradable goods and the relative unproductive tradable goods sector in poor countries. Moreover, I show that domestic and external financial integration have different impacts on the economy. While the former is vital to reduce the misallocation of resources, the last is crucial to reduce the domestic interest rate and stimulate a deeper engagement of entrepreneurs in real activity. I quantify these results and show that financial integration has nontrivial effects on aggregate/sector-level productivity, capital accumulation and output per worker. In the second chapter, in turn, I analyse the propagation of shocks throughout a financial network, identifying the relation between heterogeneity of institutions and the resilience of the system. I distinguish banks according to their size and degree of centrality in order to form a core-periphery network, similar to those empirically observed. Regarding the effects of unexpected shocks, I argue that connections work as a way of propagation of losses and prove the possibility of contagion in equilibrium. Unlike the intuitive perception, I point out that a gap between the size of central and peripheral agents is required for the former to achieve the expected systemic relevance. When it occurs, the presence of core banks is crucial for easing the propagation of direct losses, as well as for protecting the system against peripheral shocks. The policy implications are clear in such cases. Monetary authorities do not need to rescue peripheral banks in order to avoid contagion. I conclude by analysing the relative resilience of some networks. I show that the core-periphery network is more resilient than the circular one. Since the last is mostly used, the contagion risk might be overestimated in literature. / Essa tese é composta por dois capítulos. No primeiro, desenvolvo um modelo para quantificar o papel da heterogeneidade setorial, em relação ao acesso a crédito, na determinação dos efeitos da integração financeira. Fricções financeiras geram má-alocação de recursos, resultando em baixa produtividade e produto por trabalhador em economias emergentes. Dada a existência de heterogeneidade setorial no acesso a crédito, essas fricções apresentam efeitos desproporcionais em variáveis setoriais, assim como na taxa de câmbio. Esses elementos são capazes de explicar regularidades do desenvolvimento, como o elevado preço relativo dos bens comercializáveis e a baixa produtividade relativa desse setor nos países em desenvolvimento. Adicionalmente, mostro que a integração doméstica e externa apresentam diferentes impactos na economia. Enquanto a primeira é vital para reduzir a má-alocação de recursos, a segunda é crucial para reduzir a taxa de juros doméstica e estimular um maior engajamento dos agentes na economia real. Quantifico esses resultados e mostro que a integração financeira apresenta efeitos não triviais na produtividade agregada/setorial, na acumulação de capital e no produto por trabalhador dos países. No segundo capítulo, por sua vez, analiso a propagação de choques por uma rede financeira, identificando a relação entre a heterogeneidade das instituições financeiras e a resiliência do sistema. Os bancos são diferenciados de acordo com seu tamanho e grau de centralidade na rede, de modo a formar uma rede núcleo-periferia similar às empiricamente observadas. Em relação aos efeitos de choques inesperados, mostro que as conexões funcionam como meio de propagação de perdas e provo a possibilidade de contágio em equilíbrio. Em contraste com a visão intuitiva, mostro que é necessária uma lacuna entre o tamanho do banco núcleo e periférico para que o primeiro alcance a relevância sistêmica esperada. Nesse caso, a presença de bancos núcleo é crucial para a propagação de choques que os atinjam diretamente, assim como para a proteção do sistema contra choques periféricos. As implicações de política são claras nesse caso. A autoridade monetária não precisa resgatar bancos periféricos para evitar o contágio. Por fim, analiso a resiliência relativa de algumas redes financeiras. Mostro que a rede núcleo-periferia é mais resiliente do que a rede circular. Como a última é utilizada recorrentemente, o risco de contágio pode estar superestimado na literatura.

Quels sont les effets du droit et de la régulation sur les institutions financières? Cette thèse propose d’apporter des réponses à cette question tout au long de trois chapitres. Le premier chapitre étudie l’impact du droit des entreprises en difficulté sur la prise de risque des banques. Les principaux résultats montrent qu’une meilleure protection des créanciers augmente le risque systémique des banques. Ces résultats sont observés dans les pays développés où les banques sont davantage engagées dans les instruments complexes, elles sont plus grandes et plus interconnectées que celles dans les pays en voie de développement. Le second chapitre expose l’émergence des startups fintechs et présente la première étude empirique consacrée aux déterminants technologiques et économiques de ce secteur. Les résultats indiquent que les pays présentent davantage de créations de startups fintech quand les marchés de capitaux sont bien développés, que les nouvelles technologies sont facilement accessibles et que les personnes possèdent plus d’abonnements de téléphonie mobile. Le troisième examine les déterminants juridiques de l’implantation des banques à l’étranger à travers les investissements directs. L’étude constate que certains pays accueillent plus de banques étrangères quand les restrictions réglementaires sur l’investissement étranger direct sont limitées, que le coût lié au paiement des impôts est plus bas et les gouvernements moins corrompus. / What are the effects of law and regulation on financial institutions? The thesis proceeds in answering this question along three chapters. The first chapter investigates the effect of creditor rights on banks systemic risk. It provides evidence that countries adopting laws with more favorable protection to creditors in bankruptcy have higher contribution to systemic risk. The effect of creditor protection on bank systemic risk is found in developed countries, but not in developing countries. The second chapter explores the emergence of fintech startups and presents empirical evidence on the technological and economic determinants of this financial sector. The main findings show that countries witness more fintech startup formations when the latest technology is readily available, the economy is well-developed, and people have more mobile telephone subscriptions. The third chapter examines the legal determinants of the presence of foreign banks. The results show that host countries attract more foreign banks when regulatory restrictions on foreign direct investment are low, when the compliance cost for paying taxes is low, and when host-country governments are less corrupt.

Esta dissertação analisa os motivos da implantação do novo sistema de pagamentos brasileiro, descreve os impactos percebidos junto à sociedade e avalia o atual estágio do projeto. Procura mostrar que não houve redução de risco sistêmico, como se pretendia, em função da implantação do novo sistema de pagamentos. Também evidencia que não houve redução de tarifas bancárias com a implantação do mesmo. Descreve que, em função da redução de custos financeiros percebidos com a utilização de avanços tecnológicos, os bancos passaram a apropriar-se dos ganhos em função da forma como foi elaborado o novo sistema, não foi possível identificar qualquer redução de preço nas tarifas bancárias em função de uma maior concorrência. / This dissertation analyzes the motives of the implementation of the new system of Brazilian payments, describes the impacts perceived into the society and evaluates the current stage of the project. The study showed that there was neither reduction of systemic risk nor banking fees after the implementation of the new system of payments. It describes that banks kept the earnings acquired from of the reduction of financial costs perceived with the utilization of technological advancements. The way the new system was setup prevented an identification of any reduction of banking tariffs because of increased market competition.

Les tests de résistance, qui évaluent la capacité des banques à soutenir la détérioration de la situation économique et financière, sont devenus un outil qui aide les banques centrales à exercer leur nouveau pouvoir de supervision et à promouvoir un système financier stable. En outre, la récente crise financière mondiale a déplacé le centre d'attention de la supervision financière d'une perspective microprudentielle, basée sur la résilience des institutions individuelles, à une perspective plus macroprudentielle, qui englobe la résilience globale du système financier. Par conséquent, les tests de résistance microprudentiels mettent l'accent sur le rôle traditionnel du capital bancaire en tant que coussin de protection contre les pertes, tandis que les tests de résistance macroprudentiels se concentrent sur le système bancaire dans son ensemble. La crise financière mondiale a également souligné le rôle crucial du risque de liquidité dans la détérioration de la stabilité du système financier international. Le premier article passe en revue le premier test de résistance de la BCE, en le comparant à la littérature et aux autres tests de résistance effectués de par le monde, et contextualise ses résultats. Il donne un aperçu des tests de résistance et une liste d'améliorations potentielles. Le second article cherche à construire une méthodologie qui couvre certaines lacunes (effet de spillovers et interactions entre solvabilité et liquidité) identifiée dans le premier chapitre et l'utilise pour évaluer la fragilité actuelle du système bancaire de la zone euro selon différents scénarios. Enfin, le troisième chapitre analyse le lien entre la solvabilité et les coûts de financement. / Stress tests, which evaluate banks' capacity to withstand deteriorating economic and financial condition, have become a tool that helps central banks to fulfil their new supervisory power and promote a stable financial system. Additionally, the global financial crisis shifted the perspective of financial supervision from a microprudential perspective, based on the resilience of individual institutions, to a more macroprudential perspective, which encompasses the whole financial system resilience. Hence, microprudential stress tests emphasize the traditional role of bank capital as a buffer against loss, shielding the deposit insurance agency, while, macroprudential stress tests focus on whether the banking system as a whole has the balance, sheet capacity to support the economy. The global financial crisis also highlighted the crucial role of liquidity risk in undermining the stability of the international financial system. The first paper reviews the first ECB stress test, comparing it to the literature and other stress tests conducted, and contextualize its results. It provides an overview of stress tests as a tool and give a list of potential improvements. The second paper, seeks to construct methodology that covers some shortcomings (spillovers and interaction between solvency and liquidity) identified in the first chapter and uses it to assess the current fragility of the Eurozone banking system to various scenarios. Finally, the third chapter analyses the link between solvency and funding costs as a potential source of second round losses in the stress testing framework.

Cette thèse s'inscrit dans le contexte d'après crises des subprimes et des dettes souveraines européennes. Il s'agit de périodes durant lesquelles les banques, en particulier dans la zone Euro et aux Etats-Unis, ont fait face à un assèchement de liquidité sans précédent ayant paralysé le système bancaire et conduit à la faillite de banques dont certaines solvables. La thèse cherche à répondre à la problématique suivante : Quelles sont les raisons du dysfonctionnement de deux canaux importants d'approvisionnement en liquidité par les banques, à savoir, le marché des actifs et surtout le marché monétaire interbancaire ? L'objectif est d'avoir un cadre d'analyse qui permet d'évaluer les propositions de la réglementation Bâle III en matière de contrôle du risque de liquidité dans les banques et d'éclairer les réflexions autour de la supervision bancaire. La première étude empirique est consacrée aux interactions entre le risque de liquidité de financement et le risque de liquidité de marché en situation de crise. Elle confirme bien la présence d'un renforcement mutuel entre ces deux types de risque dans les cas américain et européen durant la période allant de 2007 à 2011. La deuxième étude empirique se focalise sur le dysfonctionnement du marché monétaire interbancaire dans la zone Euro durant la même période en identifiant les motifs de la thésaurisation de liquidité par les banques, à savoir, le risque de contrepartie, le motif de précaution et le motif de spéculation. Les résultats montrent bien qu'il y a une relation significativement positive entre ces trois facteurs et la thésaurisation. Enfin, la troisième étude met l'accent sur les conséquences de la thésaurisation en termes de contagion interbancaire et de risque systémique. Les résultats confirment en effet l'impact de la thésaurisation sur le risque systémique dans la zone Euro. / During the U.S subprimes and the European sovereign debt crisis, banks faced with an unprecedent liquidity drying-up, leading to a banking system paralysis and failures of banks (including some solvable banks), in particular in United States and Euro zone. This dissertation seeks to answer the following question: what are the reasons of dysfunction of two important channels of liquidity supply of banks, namely, asset market and interbank money market? The aim is to have an analysis framework in order to evaluate banking regulations issued by Basel III and to enlighten reflections about banking supervision. The first empirical study examines the interactions between funding liquidity risk and market liquidity risk. Its results confirm that these two risk types are mutually reinforcing in American and European cases during the period between 2007 and 2011. The second empirical study focuses on the failure of the interbank market in Euro zone during the same period by identifying the motives behind the bank liquidity hoarding, namely, counterparty risk, precautionary motive and speculative motive. The results show that there is a significantly positive relation between these three factors and the liquidity hoarding. Finally, the third empirical study illustrates the repercussions of this phenomenon on systemic risk. The results confirm the impact of liquidity hoarding on systemic risk in Euro zone.

Les pertes de rendement dues au climat sont positivement corrélées. Cela va à l’encontre des principes d’assurance et expose l’assureur à des risques financiers qu’il ne peut supporter seul. Les réassureurs eux-mêmes peuvent être dépassés par les sommes en jeu. Les marchés financiers en revanche possèdent la capacité financière requise et l’effet diversifiant des risques climatiques pourraient intéresser les investisseurs. Une stratégie de gestion du risque systémique consistant pour l’assureur à isoler la partie corrélée du risque rendement et à la transférer aux marchés financiers via des obligations catastrophe est analysée en trois points. Tout d’abord, des modèles de tarification isolant la part systémique du risque sont présentés. Ensuite, la démonstration de la faible corrélation d’une obligation agricole est faite, ainsi que de ses rendements élevés, confirmant son potentiel pour les investisseurs. Enfin, l’évolution de la valeur de marché des compagnies émettrices d’obligations catastrophe est étudiée. Au global, aucun impact n’est détecté. En détail, des émissions répétées favorisent la hausse de la valeur de l’émetteur, et de grosses émissions en favorisent la baisse. Les assurances indicielles sont utilisées comme support de l’étude. Basées sur des proxys de rendement plutôt que sur des rendements réels, elles donnent accès à des bases de données complètes et fiables. Ces travaux contribuent à la littérature restreinte concernant les risques agricoles et leur transfert vers les marchés financiers. Ils fournissent aux assureurs une stratégie alternative de transfert de risque et ouvrent la voie vers des outils innovants d’investissement. / Crop yield insurance comes with loss correlation, impeding the classical insurance risk pooling. Insurers alone cannot face the high exposure entailed by weather risks, which can even fall beyond the reinsurers’ financial capacity. Financial markets appear as a logical risk-transfer solution, investors being potentially interested by the diversifying effect of weather-linked risks. A systemic risk management strategy consisting for the insurer to isolate the correlated component of the crop yield risk and to transfer it to the financial markets through catastrophe bonds is investigated in three points. First, insurance pricing models separating the risk into a systemic and a non-systemic component are presented. Second, the interest for investors to take part in a cat bond based on agricultural risks is analyzed. The low correlation to financial markets of such bonds and their potentially high returns confirm the attractiveness of this new asset class for investors. Finally, the evolution of the market value of cat bonds issuers is studied. No general evolution is identified, but firms used to issue cat bonds may expect their market value to increase, while the firms issuing the largest bonds may expect their market value to decrease. The study is applied to the case of index insurance, based on yield proxys rather than real yields, which provides detailed data for accurate risk quantification. This work contributes to the still limited literature regarding agricultural risks and insurance by describing an integrated systemic risk management strategy providing insurers with alternative risk-sharing solutions and investors with innovative asset allocation opportunities.