The energy transition generates for the financial system the so-called 'transition risks', leading to the development of Climate Stress-Tests. We propose a firm-level corporate credit risk model that accounts for business model evolution in a transition scenario for Climate Stress-Tests. It is a structural and path-dependent model with stochastic total assets and debt and it integrates all the transition risks drivers as well as physical risks. Simulations show that reducing emissions intensity may improve leverage ratios despite the mitigation costs. However, often-used strategies such as aligning with sectoral averages, increase credit risk, with default probabilities up to 4 times higher in orderly transitions. Constant market share assumptions underestimate default risk for high polluters and overestimate it for low polluters. Tailored business model strategies are essential for managing credit risk effectively during the energy transition.