By combining KMV model and DCC-MSV model, a sectors' credit risk correlation analysis model was constructed to explore the credit risk contagion effects between the five sectors. Having ruled out the sectors whose field involved is too miscellaneous and main business is not prominent, the number of listed companies in each sector is taken into consideration, and eventually the research object is determined to consist of the transportation warehousing sector, information technology sector, the retail establishment sector, the real estate sector and the community services sector. The empirical results show that the credit risk contagion effects between the sectors are significantly greater than 0.5 and have an upward trend in the turbulence, which further confirms that there indeed exists significantly incremental credit risk contagion between different sectors in the tertiary industry, and also illustrates that the degree of contagion is strengthening. Meanwhile, the empirical results also demonstrate that the credit risk contagion effects between the transportation warehousing sector and the other four sectors was marked, which may be due to the fact that the transportation warehousing sector, as the basic sector, significantly impacts on other sectors. This article also points out that the credit risk contagion effect between the real estate sector and the community services sector is also significant, probably because both sectors share the credit risk contagion affecting factors, that is, the transportation warehousing sector. Besides, the article manifests that the credit risk contagion effect between the wholesale and the retail establishments sector and the community services sector is the strongest and relatively stable. The possible reasons can be that both of the two sectors are influenced by the transportation warehousing sector, and that there also exists a strong affinity between them.