obtains a measure of domestic, systemically important banks. The SRISK Systemic Risk Indicator is computed automatically on a weekly basis and made available to the community. For the US model, SRISK and other statistics may be found under the Volatility Lab of NYU Stern School website and for the European model under the Center of Risk Management (CRML) website of HEC Lausanne. Pair/vine copulas A vine copula can be used to model systemic risk across a portfolio of financial assets. One methodology is to apply the Clayton Canonical Vine Copula to model asset pairs in the vine structure framework. As a Clayton copula is used, the greater the degree of asymmetric (i.e., left tail) dependence, the higher the Clayton copula parameter. Therefore, one can sum up all the Clayton Copula parameters, and the higher the sum of these parameters, the greater the impending likelihood of systemic risk. This methodology has been found to detect spikes in the US equities markets in the last four decades capturing the Oil Crisis and Energy Crisis of the 1970s, Black Monday and the Gulf War in the 1980s, the Russian Default/LTCM crisis of the 1990s, and the Technology Bubble and Lehman Default in the 2000s. Manzo and Picca introduce the t-Student Distress Insurance Premium (tDIP), a copula-based method that measures systemic risk as the expected tail loss on a credit portfolio of entities, in order to quantify sovereign as well as financial systemic risk in Europe. Valuation of assets and derivatives under systemic risk Inadequacy of classic valuation models One problem when it comes to the valuation of derivatives, debt, or equity under systemic risk is that financial interconnectedness has to be modelled. One particular problem is posed by closed valuations chains, as exemplified here for four firms A, B, C, and D: B might hold shares of A, C holds some debt of B, D owns a derivative issued by C, and A owns some debt of D. For instance, the share price of A could influence all other asset values, including itself. The Merton (1974) model Situations as the one explained earlier, which are present in mature financial markets, cannot be modelled within the single-firm Merton model, but also not by its straightforward extensions to multiple firms with potentially correlated assets. To demonstrate this, consider two financial firms, , with limited liability, which both own system-exogenous assets of a value at a