The main goal of this paper is to investigate the effect of the financial characteristics on default probability of the unlisted SMEs. The sample period covers from January 1, 1999 to December 31, 2007. The sample is divided into three branches, the manufacturing industry, the construction, and retail and wholesale sector. Also in terms of size, i.e. total asset on financial statement, we classify samples into micro firms, small firms, and medium firms. Our main results are summarized as follows. First, most of financial ratios, i.e. growth, profitability, liquidity, stability, efficiency, productivity, are statistically significant. The empirical results by the size and the industry are analogous to the results from the entire data. Growth rate of equity has a significant negative relationship with default probability in manufacturing but is not significant in the construction and wholesale and retail sector. It appears that characteristics of small and medium sized enterprises in manufacturing differ from that in the construction and wholesale and retail sector. Second, the growth rate of equity in construction and wholesale and retail sector is not significant in all of sample groups by the size and industry. The growth rate of equity in the manufacturing sector mainly has a significant effect on default probability with the unlisted SMEs. Third, the classification accuracy(area under the receiver operating characteristics: AUROC) of the default probability model for training dataset is 70.5∼78.6% while that for validation dataset is 67.0∼69.6%. In all dataset AUROC are near about 70%. This implies that the models used in the analysis are adequate to predict default of SMEs.