  This paper proposes an important extension to Conditional Value-at-Risk
(CoVaR), the popular systemic risk measure, and investigates its properties on
the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined
as the Value-at-Risk (VaR) of a financial system or institution, given that at
least one other institution is equal or below its VaR. The VCoVaR relaxes
normality assumptions and is estimated via copula. While important theoretical
findings of the measure are detailed, the empirical study analyzes how
different distressing events of the cryptocurrencies impact the risk level of
each other. The results show that Litecoin displays the largest impact on
Bitcoin and that each cryptocurrency is significantly affected if an event of
joint distress among the remaining market participants occurs. The VCoVaR is
shown to capture domino effects better than other CoVaR extensions.
