In this chapter, we present an analytical framework and the methodologies for measuring the impact of climate-related physical risks on the default risks of bank loans. The framework consists of the setting of climate scenarios and a suite of catastrophe models and financial models. For the case study, we analyzed the impacts of climate change on typhoons’ intensity and frequency and on credit risk metrics (e.g. PD and LGD) of mortgage loans in China’s coastal cities. The model shows that, under an extreme scenario (RCP8.5 with extreme exacerbation effect on typhoons), the expected annual credit loss of mortgage loans could rise nearly three fold in 2050 compared with the baseline scenario which assumes no change in typhoons’ occurrence pattern. This framework can also be applied to estimate potential climate exacerbated impacts of other natural disasters including floods, heatwaves, drought and wildfires on financial risk metrics such as default probability and valuation of assets.