Purpose–The purpose of this paper is to measure a single financial institution's contribution to systemic risk by using extremal quantile regression and analyzing the influential factors of systemic risk. Design/methodology/approach - Extreme value theory is applied when measuring the systemic...

Purpose – The purpose of this paper is to measure a single financial institution's contribution to systemic risk by using extremal quantile regression and analyzing the influential factors of systemic risk. Design/methodology/approach – Extreme value theory is applied when measuring the...