Before revision:  The provided analysis suggests that cross-correlations maximum value increases near periods of crisis and remains close to 1 since the US housing bubble in 2007. Our analysis is based on the linear response theory approximation and uses asymmetries of cross-correlation function  with respect to zero lag.
After revision:  The provided analysis suggests that cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics shows that the dependence between the risks becomes linear near such events and the maximum value of this averaged cross-correlation function with respect to zero lag.