The hidden champions and large enterprises play an essential role in the economic development in Taiwan. Behind the scene, these enterprises are well-supported by local financial service providers. However, due to commercial confidentiality and the protectionism of corporate customers, domestic banks’ mechanism of mega loan credit assessment and cases are merely unveiled in previous studies. To fulfill the knowledge gap, this study examines the potential pitfalls of the existing credit assessment models of domestic banks, using the dynamic capabilities as the theoretical framework; hard, soft information and structural hole theory work as the micro-foundation. As an illustration, this study also provides three actual mega loan cases to depict the dilemma when the banks face the “credit paradox”. These cases provide profound insights that how a bank utilize its organizational agility and various channels to effectively and efficiently accomplish the credit assessment. For the banks, reaching appropriate balance between efficiency and risk control through organizational agility is the key to create a win-win situation.