The purpose of this research is to estimate default probability and to explore the major creditrisk factors effecting on the survival duration of firms by industry. For this we apply Kaplan-Meier survival function and hazard model with time-varying variables. As the factors effecting on the survival of companies, we consider the financial features andthe unique features of firms, such as form, the size of total asset and year of establishment, etc.. In addition, macroeconomic features are considered, such as rate of economic growth, inflationrate, loan interest rates and term structure. SMEs are largely affected by the economic fluctuations because of relatively poor credit levels. We analyze multiple cohort data obtained to 2007 year for the small and medium enterprisesestablished between 1998 and 2002 from each database of Korea Credit Guarantee Fund andKorea Enterprise Data. As the estimated results of Cox’s proportional hazard model, the commonly significant financialfeatures in all the industries are start-up time, interest expense to sales, level of cash reserves,loan interest rates and term structure. Return on equity and productivity of capital aresignificant in manufacturing, services and wholesale/retail industries Asset turnover ratio,total borrowings and account receivables to total assets are significant in construction, servicesand wholesale/retail industries. The unique factor by industries is assets size in manufacturingindustry, the type of firms in services and wholesale/ retail industry and sales growth rate,value-added ratio and debt to equity ratio in construction industry. In the meantime, as a result of the survival analysis using Kaplan-Meier product limitestimator, we confirm that the hazard rate is low and the stabilized time is fast in order of servicesand wholesale/retail, manufacturing and construction industry. The more stable economy situationat the time of start-up, the lower hazard rate and the more fast stabilization.