The feud between Jericho and The Rock built up to a match at No Mercy on October 21 , where Jericho beat the Rock to win the WCW Championship , and Stone Cold Steve Austin defeated Angle and Rob Van Dam to retain his WWF Championship . The feud between Jericho and The Rock built up to a match at No Mercy on October 21 , where Jericho beat the Rock to win the WCW Championship ( Jericho 's first world title ) , and Stone Cold Steve Austin defeated Angle and Rob Van Dam to retain his WWF Championship .