This paper estimates sector-specific sensitivities of European firms’ default probabilities to geopolitical risk shocks, providing empirical counterparts to δk in the reverse stress testing framework of Hurlin et al. (2026). Using Local Projections on a panel of 1,324 European firms from January 2021 to April 2026, I estimate impulse responses of the logit-transformed Bloomberg 5-year default probability to a one-standard-deviation shock in the standardized first difference of the Caldara and Iacoviello (2022) GPR Index. Results show strong crosssector heterogeneity. Consumer Staples and Consumer Discretionary display the largest, most persistent responses, exceeding 0.018 after four months; Industrials, Materials, and Health Care also respond positively. Energy and Communication Services remain insignificant, while Financials are positive but less sensitive. At industry-group level, Automobiles & Components drives Consumer Discretionary, while Banks and Insurance show similar patterns. Robustness checks confirm the findings, and estimated ˆδk,h help calibrate sector-level credit portfolio models. JEL Classification: C23, G33, C58, G21.