Along with the gradual development of the international oil market in the direction of financialization, more and more investors are investing and trading oil as a financial asset, resulting in crude oil price fluctuations affecting the transfer of input funds between stock markets. In turn, the transfer of funds in stock markets will trigger changes in a country's exchange rate. Therefore, crude oil is an essential strategic resource, and its price fluctuations are bound to move the country's stock and currency markets, thus bringing systemic risk. Therefore, based on the industry perspective, the SETAR-Copula model is used to portray the nonlinear characteristics between the exchange rate, WTI crude oil futures price index and SSE index, and the sample data are divided into different intervals according to the threshold parameters in the model. The Vine Copula function is combined to measure the conditional value-at-risk CoVaR and risk spillover CoVaR under various combinations of intervals. The study shows that the stability of the exchange market and the stock market in China can weaken the impact of the volatility of the international crude oil market when it is in a fastrising stage.