This paper presents astatistical modeling methodology for simultaneous estimation ofthe term structure for the risk-free interest rate,hazard rate,loss given default aswell ascredit risk dep endency structure between bond-iss uing industries.Amodel like this provides arealistic view for the market anticipation of credit risk for corporate bonds and the flexibilityincapturing credit risk dependency between industries. Our statistical modeling procedure iscarried out without specifying the model likelihood explicitly,and thus robust tothe mode mis-specification.Anempirical analysis isconducted using the financialinfor- mation onthe Japanese bond market data.Numerical results confirmthe practicality ofthe proposed methodology