Quantifying systemic risk via high-dimensional CoVaR measures

Key Points

• Systemic risk can be effectively quantified using high-dimensional CoVaR measures, which assess risk transmission among financial entities.
• The analysis reveals that interconnectedness in financial networks significantly influences systemic risk levels within the market.
• Utilizing quantitative analysis allows for a more precise measurement of risk compared to traditional methods, enhancing financial stability assessments.
• This approach may enable better risk management strategies in financial systems, although further validation is necessary for widespread application.