Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions

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Interconnectedness and systemic risk of China's financial institutions (2017, background): “For example, Zhou (2010) proposes two measures, systemic impact index (SII) and vulnerability index (VI), for identifying the systemic importance of financial institutions using the multivariate extreme value theory.”
Systemic Risk Contributions (2011, unknown): “9Related methods in identifying systemically important institutions include the contingent claims approach (Gray et al. 2007), extreme value theory (Zhou 2009), equity volatility/correlation (Brownlees and Engle 2010), and too-connected-to-fail (Chan-Lau 2009), among others. where the expectation…”
On dependence consistency of CoVaR and some other systemic risk measures (2012, methodology): “The dependence consistency results for CoVaR and CoES based on the stress scenario X ≥ VaRα(X) also apply to the Marginal Expected Shortfall (MES) defined in [1] and to the Systemic Impact Index (SII) introduced in [29].”
Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach (2012, unknown): “S ii S t t tCoVaR CoVaR VaR This measure has been used in other papers, such as Van Oordt and Zhou (2010).”