The two clocks of systemic importance

Systemic importance has two dimensions, a bank’s contribution to system-wide tail risk (ΔCoVaR) and its exposure to it (marginal expected shortfall, MES). Using daily ΔCoVaR and MES for 24 publicly traded Global Systemically Important Banks over 2012–2025, we show the two rankings move on different clocks. Contribution rankings reorder at the same rate in calm times, the pandemic, and after. Exposure rankings survive the pandemic but re-anchor sharply at the 2022–2023 interest-rate regime change, as euro-area banks fall and US and Japanese banks rise. Shocks rotate which banks contribute to systemic risk; only regime changes move which are exposed.