This chapter examines the trends and composition of banking risk across Europe from January 1988 to December 2010. In particular, the chapter examines whether, the growing integration and internationalization of European banks has increased their vulnerability to cross-country shocks and increased the likelihood of cross-country banking crises. While there is no evidence of a long-term trend in the average level of banking system volatility, there is a change in its composition resulting from the growing importance of International and European nonfinancial components, especially in the largest banking systems. We argue that the changing composition of banking system volatility is the effect of a long-term integration process (with a growing importance of cross-border activities) that has not been influenced by the introduction of the Euro.