We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire‐sale‐specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm‐specific measures of systemic risk, including SRISK and $\mathrm{\Delta }$CoVaR. The balance‐sheet‐based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.

中文翻译：

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火灾溢出效应和系统性风险

通过构建总体脆弱性指数，我们随着时间的流逝确定并跟踪使金融系统容易遭受火灾打击的因素。该指数在2004年开始迅速增加，在大多数其他主要的系统风险措施之前，到2008年增加了三倍。去火速度和非流动性资产集中的特定于火灾买卖的因素占了这一增长的大部分。个别银行对总体脆弱性的贡献可以预测其他公司针对系统性风险的衡量标准，包括SRISK和$\mathrm{\Delta }$CoVaR。因此，我们建议的基于资产负债表的衡量指标是在何时何地建立漏洞的有用的早期指标。