We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

The Conditional Value-at-Risk (CoVaR) proposed by Adrian and Brunnermeier (2016) - which quantifies the impact of a company in distress on the Value-at-Risk (VaR) of the financial system - has established itself as a reference measure of systemic risk. In this study, we extend the CoVaR along...

This paper examines the relationship between systemic risk measures across 546 financial institutions in major petroleum-based economies and oil movements. In this paper, we follow two steps. In the first step, we estimate the delta conditional VaR (CoVaR) for the financial institutions and...