提出系统性风险度量指标ΔCoVaR，定义为金融机构处于困境时相对于其中位状态整个金融系统在险价值的变化，发现杠杆、规模、期限错配和资产价格泡沫能显著预测该指标，且2006年第四季度的预测值可解释2007-2009年金融危机期间超过三分之一的实际ΔCoVaR。
We propose a measure of systemic risk, Δ CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict Δ CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized Δ CoVaR during the 2007–2009 financial crisis.