6  A number of promising measures of measuring systemic risk that take into account the correlations of firms’ strategies have recently been developed.
For example, the CoVaR approach aims to measure the marginal contribution of a financial institution to systemic risk, where systemic risk is measured by the value at risk of all firms together; see Tobias Adrian and Markus K. Brunnermeier (2009), “CoVaR (766 KB PDF)”, Staff Report 348 (New York: Federal Reserve Bank of New York, August).