Climate-adjusted balance-sheet risk assessment across firm-size categories in developing economies under SSP1-1.9 and SSP1-2.6 warming pathways: A CLIMADA-NPBMC framework

This study develops a full climate-adjusted balance-sheet risk assessment framework for unlisted firms in developing countries. Unlisted firms is an area largely overlooked in climate-finance research, and attention is mostly focused on listed firms in developed economies. A critical challenge in resolving this gap is the availability of accounting information for unlisted firms especially those in developing countries. In this study, firm-level balance-sheet components values reconstructed from World Bank Enterprise Survey (WBES) microdata are linked to geospatial climate hazard exposure from CLIMADA probabilistic risk modelling framework, and a Non-parametric Bootstrap Monte Carlo (NPBMC) framework is used to estimate the Value-at-Risk and Expected Shortfall of the components, and corresponding confidence intervals by firm size under two IPCC AR6 warming scenarios. CLIMADA-NPBMC framework provides critical methodological contribution for climate-adjusted tail-risk metrics that can directly support financial supervisors in identifying risk concentrations across firm-size categories, perform climate-stress-test, and support in designing firm-size-specific capital and insurance interventions. Percentage-confidence-interval analysis shows narrow uncertainty bands in the baseline and near term, and only modest widening by 2100, demonstrating that estimates remain statistically robust even under long-horizon projections, making the framework reliable for climate-adjusted financial risk assessment. Results indicate that climate-adjusted Value-at-Risk and Expected Shortfall rise steadily over time, with much stronger amplification under SSP1-2.6 and substantial cross-country heterogeneity. Overall, the study offers a scalable, transparent tool for supervisors to integrate climate physical risk into balance-sheet monitoring and financial stability assessments across all firm-size categories.