This paper aims to estimate the effects of contagion on the three Romanian commercial banks during financial crisis period, by using the CoVaR methodology. The motivation in choosing this topic is represented by the fact there is little research on systemic risk and contagion in the Romanian banking sector. The results of this paper highlight that the largest contribution to the daily losses of the most important commercial banks is given by Carpatica, while the lowest contribution is given by Transilvania. Moreover, we obtained that the Carpatica has the highest impact on both BRD and Transilvania, while Transilvania has the smallest impact.