Before revision:  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 is often shifted with respect to zero lag  .
After revision:  The observed historical dynamics shows that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining on that level until 2013. Moreover, the averaged cross-correlation function is often shifted with respect to zero lag .