In this paper we use the Vector autoregression with exogenous variables (VARX) model to examine the impact of macroeconomic shocks on profit and loss of a private bank  in Iran. Net interest and non interest income variables as indicators of the bank's profit and loss are considered as the dependent variables. Exogenous variables are two groups including balance sheet and macroeconomic variables. The results of estimating models with exogenous variables show that exogenous variables such as cash flow, off balance sheet items and macroeconomic variables such as value-added of sectors, inflation, unofficial exchange rate, affect bank's profit and loss. The results of impulse response function indicate that the shocks imported from the net non-intrest profit is a cause of severe volatility in net intrest profit. In adition, the results of stress test suggests that in recession, net interest profit changes faster than net non-interest profit.

JEL Classifications: L2, G21, C23