  In this paper we formulate a corporate bond (CB) pricing model for deriving
the term structure of default probabilities (TSDP) and the recovery rate (RR)
for each pair of industry factor and credit rating grade, and these derived
TSDP and RR are regarded as what investors imply in forming CB prices in the
market at each time. A unique feature of this formulation is that the model
allows each firm to run several business lines corresponding to some industry
categories, which is typical in reality. In fact, treating all the
cross-sectional CB prices simultaneously under a credit correlation structure
at each time makes it possible to sort out the overlapping business lines of
the firms which issued CBs and to extract the TSDPs for each pair of individual
industry factor and rating grade together with the RRs. The result is applied
to a valuation of CDS (credit default swap) and a loan portfolio management in
banking business.
