This article proposes a credit risk model to the Portuguese banks’ aggregate loan portfolio of non-financial corporations (NFC). Using a one-period simulation-based multi-factor model, we estimate the loss distribution and several one-year risk metrics between 2006 and 2017. The model differentiates from the Basel IRB framework by explicitly incorporating interdependencies between economic sectors. The flexible nature of the model allows sectoral risk to be decomposed into different components. The results point to diversification gains in the last years thanks to a lower concentration in a specific sector, the construction sector, and not due to an allocation into sectors with lower interdependency.