Based on an extensive dataset of 1,156 European banks over the 1995-2015 period, we aim to provide new insights on the determinants of bank risk during crisis events, employing a novel asymmetric Z-score and a methodology which allows the determination of the crisis period endogenously. The results of FE panel model and panel threshold model suggest that coverage liquidity, assets liquidity, funding diversification, efficiency and profitability ratios are the main drivers of European banks' risk. The banks with higher values of these ratios during the crisis period have a lower capitalisation with respect to the distribution of their returns. Moreover, during the crisis as for normal times larger banks are less risky because they are better capitalised with respect to the distribution of their returns.