We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007/2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional...

Motivated by the stylized fact that intraday returns can provide additional information on the tail behaviour of daily returns, we propose a functional autoregressive value-at-risk approach which can directly incorporate such informational advantage into the daily value-at-risk forecast. Our...