Central bank concerns about climate change are on the rise, and a plethora of new methods have been developed to assess the impact of climate-related shocks on the financial sector. This column reviews current climate risk stress test methods and identifies six types of climate shocks and four types of modelling approaches. Given the complexity of the link between climate shocks and financial sector outcomes, the authors argue that current methods have several key limitations that may lead to significant underestimation of potential financial sector losses. […]