This　paper　investigates　the　heterogeneous　risk　spillovers　from　crude　oil　to　regional　natural　gas　markets　against　the　background　of　the　North　American　shale　gas　revolution.　The　market　risks　are　measured　by　the　upside　and　downside　VaR.　We　first　confirm　the　existence　of　risk　spillovers　between　oil　and　gas　markets　by　using　Granger　causality　in　risk.　Then,　we　employ　the　MVMQ-CAViaR　model　to　reveal　the　tail-dependence　patterns　and　propose　the　performance　test　to　highlight　the　accuracy　of　the　model　for　the　construction　of　VaR.　Furthermore,　we　construct　quantile　impulse-response　functions　and　identify　asymmetric　features　in　the　magnitude,　duration,　and　direction　of　response　by　gas　markets　to　extreme　negative　and　positive　oil　price　shocks.　Our　results　show　that　the　revolution　actually　affects　the　risk　spillovers　from　oil　to　gas　markets　and　exhibits　the　time-varying　property.　And　the　heterogeneous　risk-transmission　mechanisms　depend　on　the　regional　characteristics　and　specific　market　scenarios.　Finally,　policy　implications　are　discussed.