Fire?Sale Spillovers and Systemic Risk

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