["Scottish Journal of Political Economy, EarlyView. ", "\nABSTRACT\nWhat is the link between cyclical systemic risk and bank solvency, and can we make it work for policymakers? This paper develops a framework for high‐frequency monitoring of banking system health based on the link between the degree of accumulated vulnerabilities and bank solvency. Using local projection methods with a distributional focus, we show that this link is nonlinear, with substantially stronger effects in the lower tail of the profitability distribution. Downside impacts intensify during large exogenous shocks, such as wars and epidemics. Relying on regularly available supervisory data, the framework supports timely, evidence‐based macroprudential monitoring under elevated uncertainty.\n"]