We present a simple model of systemic risk and show how each nancial institution's contribution to systemic risk can be measured. An institution's contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is under-capitalized, which increases in the institution's marginal expected shortfall, MES, i.e., its losses in the tail of the aggregate sector's loss distribution, and in its leverage. Institutions internalize their externality if they are \taxed" based on their SES. We demonstrate empirically the ability of components of SES to predict emerging systemic risk during the nancial crisis of 2007-2009, in particular, (i) the outcome of stress tests performed by regulators; (ii) the decline in equity valuations of large nancial rms in the crisis; and, (iii) the widening of their credit default swap spreads.