I have such a list.
Awhile back, I spent/invested time writing down everything bad I could think of that could happen to me.
They were then ranked according to the probability of occuring.
Then I went through the list methodically and made contingency plans for each.

The back of the envelope ranking system:
If it had occurred to me or near certainty of occuring: highest rank
If it had occurred to someone I know: 2nd rank
If it had occurred to somebody: third rank
If I could imagine it could occur: 4th rank

Highest rankings are health problems, unemployment, financial busts and the like, not armegeddon.

Of course, then I learned about black swans, which made the whole exercise much less valuable.