The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks’ assets are reported to regulators and/or the public at relatively low frequencies (e.g. quarterly or monthly), our approach is able to derive bank assets holdings at higher frequencies. From asset holdings, we are able to derive precise estimates of (i) portfolios’ concentration within each bank—a measure of the degree of diversification—and of (ii) common holdings across banks—a measure of shock propagation. We find evidence that systemic risk measures derived from our approach lead, in a forecasting sense, several commonly used systemic risk indicators.