We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the...

We construct twelve marginal--copula combinations using three marginal distributions (normal, <italic>t</italic> and <italic>S_U </italic>-normal) and four types of copulas (normal, skewed normal, <italic>t</italic> and skewed <italic>t</italic>). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value...