Engineering risk is concerned with the likelihood of failure and the scenarios when it occurs. The sensitivity of failure probability to change in system parameters is relevant to risk-informed decision making. Computing sensitivity is at least one level more difficult than the probability itself, which is already challenged by a large number of input random variables, rare events and implicit nonlinear `black-box' response. Finite difference with Monte Carlo probability estimates is spurious, requiring the number of samples to grow with the reciprocal of step size to suppress estimation variance. Many existing works gain efficiency by exploiting a specific class of input variables, sensitivity parameters, or response in its exact or surrogate form. For general systems, this work presents a theory and associated Monte Carlo strategy for computing sensitivity using response values and gradients with respect to sensitivity parameters. It is shown that the sensitivity at a given response threshold can be expressed via the expectation of response gradient conditional on the threshold. Determining the expectation requires conditioning on the threshold that is a zero-probability event, but it can be resolved by the concept of kernel smoothing. The proposed method offers sensitivity estimates for all response thresholds generated in a single Monte Carlo run. It is investigated in a number of examples featuring sensitivity parameters of different nature. As response gradient becomes increasingly available, it is hoped that this work can provide the basis for embedding sensitivity calculations with reliability in the same Monte Carlo run.