A methodology for constructing a financial systemic stress index: An application to Greece

► We develop a financial systemic stress index (FSSI) for Greece. ► The level of systemic stress is quantified by implementing a Multivariate GARCH. ► Both market and balance sheet data are utilized. ► The evaluation of the index is based on survey for financial crisis in Greece. ► Compared with alternative indices the FSSI provides precise periodization of crises.