The inability to see and quantify systemic financial risk comes at an immense
social cost. Systemic risk in the financial system arises to a large extent as
a consequence of the interconnectedness of its institutions, which are linked
through networks of different types of financial contracts, such as credit,
derivatives, foreign exchange and securities. The interplay of the various
exposure networks can be represented as layers in a financial multi-layer
network. In this work we quantify the daily contributions to systemic risk from
four layers of the Mexican banking system from 2007-2013. We show that focusing
on a single layer underestimates the total systemic risk by up to 90%. By
assigning systemic risk levels to individual banks we study the systemic risk
profile of the Mexican banking system on all market layers. This profile can be
used to quantify systemic risk on a national level in terms of nation-wide
expected systemic losses. We show that market-based systemic risk indicators
systematically underestimate expected systemic losses. We find that expected
systemic losses are up to a factor four higher now than before the financial
crisis of 2007-2008. We find that systemic risk contributions of individual
transactions can be up to a factor of thousand higher than the corresponding
credit risk, which creates huge risks for the public. We find an intriguing
non-linear effect whereby the sum of systemic risk of all layers underestimates
the total risk. The method presented here is the first objective data driven
quantification of systemic risk on national scales that reveal its true levels.Comment: 15 pages, 6 figure