世界银行-阿尔巴尼亚银行业气候转型风险压力测试框架（英）

Climate Transition Risk Stress Testing Frameworkfor the Banking Sector in AlbaniaNOVEMBER 2025Public Disclosure AuthorizedPublic Disclosure AuthorizedPublic Disclosure AuthorizedPublic Disclosure AuthorizedAcknowledgementsAcronymsList of Figures Executive summary1. Introduction2. Methodological approach2.1 Macroeconomic model2.2 Credit risk satellite model2.3 Stress test model3. Low-carbon transition scenarios for Albania4. Macroeconomic and sectoral impacts of low-carbon transition scenarios5. Financial sector impacts of low-carbon transition scenarios5.1 Data5.2 Results6. Conclusions and policy implicationsAppendix 1: Sectoral aggregation and disaggregationAppendix 2: Stress test frameworkAppendix 3: Robustness check using an OLS specification4556812131718192224242629313233Table of Contents3Climate Transition Risk Stress Testing Framework for the Banking Sector in AlbaniaAcknowledgementsThe 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 (Director of Research Department), Besa Kokallaj (Vorpsi) (Economist), Sibora Kola (Economist), Meri Papavangjeli (Senior Economist), Adelina Shella (Head of Division), Margerita Topalli (Head of Division), and Ilir Vika (Head of Division).The World Bank team responsible for this report was composed of Milica Nikolic (team lead), Thi Thanh Bui, Nepomuk Dunz, Martin Hafner-Guth, and Charl Jooste under the guidance of Frederico Gil Sander, Martha Martinez Licetti, Vahe Vardanyan, and Saskia de Vries. The report was designed by Kane Chong.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 and World Bank teams in this work do not necessarily reflect the views of The Bank of Albania and The World Bank.4Climate Transition Risk Stress Testing Framework for the Banking Sector in AlbaniaAcronymsFigure 1Overview of a Comprehensive Climate Risk Analysis10Figure 2Climate-Related Financial Transition Risk Stress Testing Framework12Figure 3Flow of funds in MFMod13Figure 4From energy to total value-added14Figure 5Consumption choices in MFMod14Figure 6Degree centrality of sectors16Figure 7Emission intensity in the Western Balkans16Figure 8Albania’s emission trajectory across NDC climate policy scenarios and corresponding carbon price trajectories20Figure 9Composition of expenditure in the NZE scenario21Figure 10Macroeconomic impacts across all climate policy scenarios22Figure 11Comparison of sectoral GVA growth rates between NDC climate policy scenarios and the baseline scenario (aggregated for the years 2025-2030) in percentage points23Figure 12Bank lending share and NPL ratios across sectors25Figure 13Deviations in NPL ratios across scenarios, years, and sectors26Figure 14Impacts on system-level CET1 ratio and respective drivers27Figure 15Bank-level heter