  This paper proposes RiskRank as a joint measure of cyclical and
cross-sectional systemic risk. RiskRank is a general-purpose aggregation
operator that concurrently accounts for risk levels for individual entities and
their interconnectedness. The measure relies on the decomposition of systemic
risk into sub-components that are in turn assessed using a set of risk measures
and their relationships. For this purpose, motivated by the development of the
Choquet integral, we employ the RiskRank function to aggregate risk measures,
allowing for the integration of the interrelation of different factors in the
aggregation process. The use of RiskRank is illustrated through a real-world
case in a European setting, in which we show that it performs well in
out-of-sample analysis. In the example, we provide an estimation of systemic
risk from country-level risk and cross-border linkages.
