I am grateful for comments from Viral Acharya, Lewis Alexander, Niki Anderson, Peter Axilrod, Dick Berner, Markus Brunnermeier, Stacey Coleman, Rob Engle, Mike Fishman, Mark Flood, John Gidman, Tobi Guldimann, Anil Kashyap, John Khambu, Arvind Krishnamurthy, Joe Langsam, Clinton Lively, Stephen O’Connor, Mike Piwowar, Hélène Rey, and Chester Spatt, none of whom necessarily agree with any of the views expressed here. In June 2007, I provided a preliminary version of this approach to the Financial Advisory Roundtable of the Federal Reserve Bank of New York. This note was prepared for a meeting on October 17, 2010, of the Systemic Risk Measurement Initiative of the National Bureau of Economic Research, of which I am a research associate. This approach has been presented to a number of regulators in Europe and the United States, whose comments have been extremely helpful. I am especially grateful to the editors, Markus Brunnermeier and Arvind Krishnamurthy. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.