The author presents methods to identify the presence of crises in the segments of Russian financial markets and points out the crisis episodes in various markets. As it turned out, the crises in the financial markets usually begin earlier than in financial organizations and the real economy (that get affected later), but, at the same time, they are more transient. The crises in the financial markets and nonbanking financial organization had passed by the end of the third quarter of 2015, but banking and real sector crises persist.