The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....

The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized...