Is there a good mechanism to incentivize leveraged firms to take less risks? It seems that there are some circumstances, say when the government foresees a financial crisis, where it would like firms to hedge, take less riesk etc. However, leveraged agents benefit from risk, and so they don;t benefit from risk eduction expenses. 

Is there some theory or idea, out ther eon how to design a mechanism that incetivizes firms to reduce their riskiness? Maybe subsidize financial hedging? Maybe tax profits very progressively/convexly?
You could augment an externality mechanism, where people are punished for the effect they have on other people, and use a convex function or variance of outcomes. You could also transform their payoffs with a concave function to induce risk aversion. Look into the VCG mechanism and extensions for more info.