The study looked at how global market risks affect the credit risk of BRICS countries using a special statistical method. The results showed that during extreme market events, Brazil's credit risk is most affected by global market sentiment, followed by China, Russia, and South Africa. Oil price volatility is a big risk factor for Brazil and South Africa, while exchange rate risk is more important for China and Russia. In Russia, exchange rate risk is the main factor influencing credit risk. These findings suggest that BRICS countries should consider regulations to control financial risks when markets are unstable.