The European Union’s electricity markets face escalating volatility due to the rapid expansion of variable renewable energy sources (RES), deeper cross-border integration, and technology-driven demand flexibility. These dynamics increase extreme price events, elevate balancing costs, and challenge system stability. To address this, we propose the Market Security Index (MSI), an author-developed, composite metric to quantify market security (higher MSI = greater resilience) across EU bidding zones. MSI tracks resilience, benchmarks heterogeneous systems, and guides investments in flexibility, aligning with IOCEN 2026’s focus on sustainable energy systems, smart grids, and AI applications. Concept and Construction: The MSI integrates three pillars capturing short-term risk, operational stress, and system buffers: (i) Price risk—frequency and intensity of extreme price episodes and volatility in day-ahead (DA) and intraday (ID) markets; (ii) Balancing stress—costs of reserve activation and imbalance settlement relative to system load; (iii) Buffer capacity—availability of interconnectors (net transfer capacity-to-load ratio), storage (batteries, pumped hydro), and demand-side response (DSR) activation during peak stress. Indicators are normalized, directionally aligned, and aggregated using equal weights, with robustness validated via principal component analysis and constrained optimization. Data and Empirical Strategy: We construct a multi-year, monthly panel dataset from ENTSO-E, ACER/CEER, and national transmission system operators, covering EU bidding zones. Control variables include RES shares, network constraints, interconnector outages, and weather (heating/cooling degree days, wind/solar output). Fixed-effects panel models estimate associations between MSI and market outcomes (balancing costs, extreme price incidence), while quantile regressions test stability across distributions. Case studies, such as the 2025 Iberian blackout, validate MSI’s responsiveness to shocks, serving as plausibility checks. Findings: Higher MSI consistently correlates with lower balancing costs and fewer extreme price events. Key insights include the following: (i) Zones with higher interconnector capacity (NTC-to-load) mitigate price shock transmission to balancing costs, supporting cross-border buffering (H3); (ii) DSR activation narrows DA–ID price spreads and reduces imbalances, especially in high-RES systems (H4); and (iii) Storage attenuates positive price spikes, with stronger effects in RES-heavy zones (H5). These findings are robust to alternative normalizations and weather/network controls, with shock-period MSI behavior aligning with operational narratives. Policy Implications: MSI serves as a policy dashboard to benchmark zones, identify vulnerabilities (e.g., low buffers in RES-dominated systems), and prioritize cost-effective interventions like interconnector upgrades, storage deployment, or DSR expansion. It complements regulatory assessments of CfD/PPA schemes by highlighting the need for physical flexibility to stabilize short-term operations, supporting the EU’s Fit for 55 decarbonization goals. AI-Enabled Extensions: MSI incorporates random forest models to forecast demand and RES generation errors, enhancing MSI-F, a forward-looking variant for probabilistic imbalance risk and tail price event prediction. This aligns with IOCEN 2026’s AI focus, enabling scenario analysis for RES penetration and DSR adoption. Limitations and Future Work: The MSI is descriptive, not causal, requiring future quasi-experimental validation. Planned extensions include integrating electric vehicle flexibility, hydrogen storage, and network-aware spatial models. Contribution: The MSI offers a transparent, modular tool bridging market analytics and system operations. It enables regulators and operators to track resilience, compare zones, and allocate flexibility investments for maximum stability, advancing the EU’s sustainable energy transition.