Climate-adjusted and climate-structural-adjusted credit risk (Probability of Default) scenarios across sector-firm size categories in Developing Countries

This dataset contains projected climate-adjusted and climate–structural-adjusted credit risk measures (Probability of Default, PD) for firms in developing economies under alternative climate change pathways from the IPCC AR6 Shared Socioeconomic Pathways (SSP1-1.9, SSP1-2.6, SSP2-4.5, SSP3-7.0, SSP5-8.5). Projections are provided at 10-year intervals from 2025 to 2105. Baseline and forward-looking PDs are derived from a structural, liability-based default model calibrated using firm-level balance-sheet data from the World Bank Enterprise Survey. Asset values and asset volatility for unlisted firms are reconstructed using a production-based framework with country- and firm-size-specific volatility estimates. Climate adjustment is introduced by scaling asset risk and volatility according to projected physical climate stress under each SSP. A second adjustment incorporates firm-level adaptive capacity, captured through indicators of financial access, formalization, and structural capability, yielding climate–structural-adjusted PDs. The dataset covers the following regions, countries, sectors, and firm size categories: East Asia and Pacific (EAP)Countries: Cambodia, China, Indonesia, Lao, Malaysia, PhilippinesSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Micro; Small; Medium; Large; Very Large Europe and Central Asia (ECA)Countries: Bosnia, Bulgaria, Georgia, Greece, Hungary, Kyrgyzstan, Moldova, Montenegro, Portugal, RomaniaSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Micro; Small; Medium; Large; Very Large Latin America and the Caribbean (LAC)Countries: Colombia, Paraguay, PeruSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Micro; Small; Medium; Large; Very Large Middle East and North Africa (MENA)Countries: Jordan, MoroccoSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Small; Medium; Large; Very Large South Asia (SA)Countries: Bangladesh, Bhutan, India, Nepal, PakistanSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Micro; Small; Medium; Large; Very Large Sub-Saharan Africa (SSA)Countries: Côte d’Ivoire, Eswatini, Ghana, Lesotho, NigeriaSectors: Manufacturing; Services; Wholesale and retail tradeFirm sizes: Small; Medium; Large; Very Large PD projections are available at both the firm level and as aggregated summaries (means and selected quantiles) across sector–firm size groups within each region. The dataset is designed to support research and policy analysis on climate-related credit risk, SME resilience, climate stress testing, and climate-finance design in developing economies.