The COVID-19 pandemic has affected share prices of public listed companies including banking institutions. However, a bank's share price is of interest mainly because of the systemic risk banks may produce. Using the concept of value-at-risk (VaR) as a measure of risk, this study investigates how COVID-19 impacted the risk of eight commercial banks in Malaysia. The Impulse Response Functions (IRF) indicate that the VaRs at probability 0.05 and 0.10 respond negatively to the shock of COVID-19. The reverse, however, is observed for the VaR at probability 0.01.