In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the … direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets …

This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …