1. The effects on macroeconomic and financial shocks on the banking system are of great interest to policymakers. Given the important linkages between the real and the financial sectors, particularly during volatile periods, a quantification of these effects may prove useful to anticipate potential changes in the level of risk faced by financial institutions. An option for estimating such effects is a modeling framework of banking system risk, combined with econometric models incorporating relevant macroeconomic and financial sector variables