  We use principle component analysis (PCA) of cross correlations in European
government bonds and European stocks to investigate the systemic risk contained
in the European economy. We tackle the task to visualize the evolution of risk,
introducing the conditional average rolling sum (CARS). Using this tool we see
that the risk of government bonds and stocks had an independent movement. But
in the course of the European sovereign debt crisis the coupling between bonds
and stocks has strongly ncreased. This results in an in-phase oscillation of
risk for both markets since mid 2010. In our data, we observe a steep amplitude
increase, suggesting a high vulnerability of the two coupled systems.
