This thesis examines the different facets of the liquidity risk and aims to analyse their essential role in the stability of the financial system. In the theoretical part of the thesis, we treat liquidity risk through bank runs. Gradually, we introduce the interbank market as a liquidity insurance mechanism between banks. However, when there is an overall shortage of liquidity, this market tends to encourage the spread of liquidity crises from bank to bank which can lead to a systemic financial crisis. We study the literature on risk contagion by interbank links and through asset price effects. The applied part of the thesis aims to test the validity of hypotheses and insights presented in the theoretical framework. The goal is to betterunderstand the mechanism of liquidity risk and the forces of interaction between balance sheet effects that can lead to the transformation of liquidity risk into systemic risk caused by counterparty risk or the revaluation of tradable assets at market prices. In the first numerical application, we propose to evaluate the risk of contagion by interbank linkages in a context where banks borrow on the interbank market and/or at the central bank if necessary. The second simulation is dedicated to contagion through asset price effects, considering that the banks must sell assets on the market to meet their liquidity shortfall. If mark-to-market accounting is applied, the effects of the douwnturn in prices appear immediately and cause a spontaneous reaction from stakeholders.
