This paper explores the determinants of credit risk for the Colombian economy, a small emerging economy in Latin American. Using a sample of 28 large banks over the 2009–2019 period and the dynamic data panel approach, we find that the macroeconomic environment’s deterioration affects the credit risk perception held by banks as measured through non-performing loans and loan loss provisions. On the other hand, a better political environment brought about by peace accords smoothed such an impact. Estimates indicate different reactions when distinguishing by loan type. Business credit depends heavily on unemployment, while consumer credit risk is more sensitive to the interest rate. In the case of mortgage loans, economic growth and the unemployment rate are the most critical variables to mitigate risk. These results shed light on the impact of the economic environment on credit lines with different features.