The role of development finance institutions in low‐income and emerging countries is fundamental to provide long‐term capital for investments in climate mitigation and adaptation. Nevertheless, development finance institutions still lack sound and transparent metrics to assess their projects' exposure to climate risks and their impact on global climate action. To attempt to fill this gap, we develop a novel climate stress‐test methodology for portfolios of loans to energy infrastructure projects. We apply the methodology to the portfolios of overseas energy projects of two main Chinese policy banks. We estimate their exposure to economic and financial shocks that would result in government inability to introduce timely 2°C‐aligned climate policies and from investors' inability to adapt their business to the changing climate and policy environment. We find that the negative shocks are mostly concentrated on coal and oil projects and vary across regions from 4.2 to 22 percent of the total loan value. Given the current leverage of Chinese policy banks, these losses could induce severe financial distress, with implications on macroeconomic and financial stability.