Measuring the exposure of Peruvian banks to climate-related transition risk: Evidence from CPRS mapping and NGFS scenarios

Cerón M.; Suclupe L. · Latin American Journal of Central Banking (2026) · DOI: 10.1016/j.latcb.2026.100215

Resumen

This paper provides the first empirical assessment of Peruvian banks’ exposure to climate transition risks using two complementary approaches. First, we apply the Climate Policy Relevant Sectors (CPRS) classification to administrative credit data, mapping exposures to sectors whose business models, technologies, or input–output linkages make them potentially vulnerable to transition-related shocks. Second, we combine baseline default probabilities with NGFS short-term scenarios to generate forward-looking estimates of expected credit losses for the corporate segment of the financial system. Our results show that nearly half of corporate lending is directed toward CPRS-classified sectors, while aggregate expected losses remain moderate—ranging from 0.4% to 0.6% of credit exposures over 2025–2030. These findings suggest that, although system-wide losses appear contained, transition-related vulnerabilities are unevenly distributed across sectors and borrower groups, warranting closer supervisory attention and the development of scenario-based stress-testing tools.