Short-term wholesale funding and systemic risk: A global CoVaR approach

► We use the CoVaR approach to identify the main factors behind systemic risk. ► We examine a set of large international banks. ► We find weaker evidence that either size or leverage contributes to systemic risk. ► Short-term wholesale funding emerges as the most relevant systemic factor. ► Asymmetries play an important role in the CoVaR approach.