Using the random effects panel data model, this thesis investigates the determinants of Credit Default Swap (CDS) spreads in the United States, China & Japan, Portugal & Greece, France, and Australia over the period from 2004 to 2011. The result suggests that both the return and risk variables are priced into the CDS spreads by the market in general. In addition, we find that CDS spreads are more affected by return-related variables before the crisis. After the crisis, risk-related variables play a more active role in determining the CDS spreads. Finally, the results show that the factors affecting the CDS spreads are different from country to country.