We propose a framework to link empirical models of systemic risk to theoretical network/general equilibrium models used to understand the channels of transmission of systemicrisk. The theoretical model allows for systemic risk due to interbank counterpartyrisk, common asset exposures/fire sales,...

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...