dependent on how correlated an institution's business is with other systemic risk. Criticisms of systemic risk measurements Criticisms of systemic risk measurements: Danielsson et al. express concerns about systemic risk measurements, such as SRISK and CoVaR, because they are based on market outcomes that happen multiple times a year, so that the probability of systemic risk as measured does not correspond to the actual systemic risk in the financial system. Systemic financial crises happen once every 43 years for a typical OECD country and measurements of systemic risk should target that probability. SRISK A financial institution represents a systemic risk if it becomes undercapitalized when the financial system as a whole is undercapitalized. In a single risk factor model, Brownlees and Engle build a systemic risk measure named SRISK. SRISK can be interpreted as the amount of capital that needs to be injected into a financial firm as to restore a certain form of minimal capital requirement. SRISK has several nice properties: SRISK is expressed in monetary terms and is, therefore, easy to interpret. SRISK can be easily aggregated across firms to provide industry and even country specific aggregates. Last, the computation of SRISK involves variables which may be viewed on their own as risk measures. These are the size of the financial firm, the leverage (ratio of assets to market capitalization), and a measure of how the return of the firm evolves with the market (some sort of time varying conditional beta but with emphasis on the tail of the distribution). Whereas the initial Brownlees and Engle model is tailored to the US market, the extension by Engle, Jondeau, and Rockinger is more suitable for the European markets. One factor captures worldwide variations of financial markets, another one the variations of European markets. Tthis extension allows for a country-specific factor. By accounting for different factors, one captures the notion that shocks to the US or Asian markets may affect Europe, but also that bad news within Europe (such as the news about a potential default of one of the countries) matters for Europe. Also, there may be country specific news that does not affect Europe or the USA, but matters for a given country. Empirically the last factor is less relevant than the worldwide or European factor. Since SRISK is measured in terms of currency, the industry aggregates may also be related to Gross Domestic Product. As such one