The determinants of bank failure are well researched, and a number of important balance-sheet indicators of bank health have been found and are widely in use by regulators and investors when evaluating the risks banks face. It is less clear how to integrate large-scale macroeconomic risks, including the effects of climate shocks, into these well-studied models. To bring these approaches together, we use a blended modeling approach that combines scenario-based macroeconomic modelling with a longitudinal model of bank non-performing loans (NPL). By transforming climate scenarios into a set of macroeconomic shocks, we stress test the change in the NPL ratios of 29 Vietnamese banks. We identify several individual Vietnamese banks that appear at greater risk to climate-induced macroeconomic shocks.