This paper presents the foundations of a new systemic risk indicator based on contingent claim analysis. The proposed model adapts Gray, Merton and Bodie (2007) methodology to the characteristics of euro area countries. Based on sector balance sheets and assuming a totally marked to market shock transmission mechanism, our methodology consists in estimating all sets of shocks able to deplete the equity base of at least one sector. The probability of these shocks happening is then estimated. The methodology is applied to Portugal for the period between 2002 and 2010. We considered shocks in seven dimensions, notably, shocks in some sectors equity (non-financial corporations, financial institutions, insurance companies and the general government) and liabilities (non-financial corporations, households). Shocks in households’ mortgages were distinguished from the remaining. The proposed indicator points to a substantial level of systemic risk since the end of 2007.