世界银行-阿尔巴尼亚银行业气候转型风险压力测试框架

for the Banking Sector in AlbaniaPublic Disclosure Authorized NOVEMBER 2025 Table of Contents AcknowledgementsAcronymsList of Figures455 Executive summary6 5.1Data5.2Results2426 6.Conclusions and policy implications Appendix 1:Sectoral aggregation and disaggregationAppendix 2:Stress test frameworkAppendix 3:Robustness check using an OLS specification313233 Acknowledgements The report was developed jointly by the Bank of Albania and the World Bank. The Bank of Albania team included Natasha Ahmetaj (Second Deputy Governor),Klodion Shehu (Director of Financial Stability Department), Altin Tanku (Directorof Research Department), Besa Kokallaj (Vorpsi) (Economist), Sibora Kola(Economist), Meri Papavangjeli (Senior Economist), Adelina Shella (Head of The World Bank team responsible for this report was composed of Milica Nikolic(team lead), Thi Thanh Bui, Nepomuk Dunz, Martin Hafner-Guth, and CharlJooste under the guidance of Frederico Gil Sander, Martha Martinez Licetti, Vahe This work is a product of the staff of The Bank of Albania and the World Bank.The findings, interpretations, and conclusions expressed by Bank of Albania andWorld Bank teams in this work do not necessarily reflect the views of The Bank of List of Figures Executive summary This first climate transition risk stress test for the Albanianbanking sector assesses the macroeconomic and financial It builds upon earlier exposure analyses conducted for the Albanian banking sector,1which identifiedthe main climate-related risks and transmission mechanisms impacting financial institutions. Byquantifying the potential impact of transition risks, this analysis contributes to the Bank of Albania’sbroader efforts to deepen understanding of climate-related financial risks. The focus here is on Three climate transition scenarios were evaluated against a baseline, overall projecting mildnegative impacts on GDP by 2030.2The orderly NDC scenario results in the least disruption. In thisscenario, a gradually introduced carbon tax incentivizes low-carbon technologies, but also leadsto higher production costs, modest inflation, and a slight decline in domestic consumption andexports. In contrast, the disorderly and adverse disorderly transition scenarios feature abrupt and Financial sector risks were assessed through credit risk stress testing.The results suggest that the banking system remains broadlyresilient,with limited increases in NPL ratios andmanageable reductions in capital adequacy, especially under theorderly transition. However, under disorderly transitions, especiallyin the adverse scenario, credit risk tends to be higher in sectorssuch as Industry, Trade, and Construction. In the absence of policy This exerciserepresents afirst step andan importantlearning process Albania’s resilience is partly attributed to its strong reliance onrenewable energy and its relatively moderate climate targets by 2030.These factors create opportunities for the banking sector to actively support the transition by financing green investments, suchas electric buses and charging infrastructure in cities in the Transport models operate in a static environment, banks’ balance sheets are held constant, and dynamicbehavioral adjustments of the economy and financial institutions are not captured. Incorporatingdynamic elements in future iterations will improve the realism of the projections and allow for the This exercise represents a first step and an important learning process in quantifying climate- related financial risks for the banking sector.In this phase, the focus has been on using bank-leveldata and integrating it into a broader macroeconomic framework, with an emphasis on sectoralNPL shifts to deepen the analysis. Looking ahead, further enhancements will include broadeningthe time horizon and improving data granularity (of both macroeconomic and banking sector data)to increase the robustness of results. The next phase will incorporate a detailed analysis of climate that lays the groundwork for more comprehensive assessments. Once, more robust analysis isconducted enhancing supervisory guidance, aligning with international disclosure standards, andembedding climate considerations into risk frameworks will be key for both the Bank of Albania and Introduction1 Climate financial risks represent a significant and growing challenge for the financial sector,encompassing both physical risks from climate-related disasters and transition risks arisingfrom the transition to a low-carbon economy.3These risks can disrupt economic activity, devalueassets, and undermine financial stability, affecting institutions ranging from banks and insurersto investors. The importance of understanding and managing these risks lies in their far-reachingimplications: they threaten the viability of businesses, the resilience of financial portfolios, and Albania's greenhouse gas (GHG) emissions are relatively low due to its 94.4% renewable electricity mix.5On a global sc