conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … causality-based networks, augmented with oil exposures. We observe the presence of elevated increases in the CoVaR levels … countries. In the second step, we consider the CoVaR by introducing oil returns as a state variable to detect if there is an …

China. The VaR and CoVaR showed that the risk of large commercial banks in China was generally low but was usually higher … approaches could effectively measure the systemic risk of listed banks in China. The %CoVAR calculated by the GARCH model was …

better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … and the CoVaR that includes oil is absorbed in a time range that is longer than the duration of the oil shocks. This …