The present study focuses on the analysis of systemic risk in the American and European financial systems for the period from 20 August 2004 to 28 February 2014. The global crisis in 2007 has brought attention to the urgent need to understand the systemic risk issues and the stability of financial systems along with their actors. To assess systemic risk, Adrian and Brunnermeier (2011) advocated the use of conditional value-at-risk (CoVaR) methodology in integrating quantile regression. Instead of the value-at-risk (VaR), which is unable to detect systemic risk, we seek to use the CoVaR methodology to calculate the systemic risk levels of the United States and European markets. In the light of related findings, we conclude that the insurance sector contributes most to the systemic risk in the USA, while in the Eurozone, it is the financial services sector that is highly interconnected with systemic risk.

中文翻译：

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评估欧美金融体系之间的系统性风险

本研究侧重于分析2004年8月20日至2014年2月28日期间美国和欧洲金融系统的系统风险。2007年的全球危机引起了人们对迫切需要了解系统风险问题和稳定性的关注。金融体系及其参与者。为了评估系统性风险，Adrian和Brunnermeier（2011）提倡在整合分位数回归中使用条件风险价值（CoVaR）方法。我们试图使用CoVaR方法来计算美国和欧洲市场的系统风险水平，而不是无法检测系统风险的风险价值（VaR）。根据相关研究结果，我们得出结论，在美国，保险部门对系统性风险的贡献最大，而在欧元区，