Recently, the financial world witnessed a series of major defaults by several institutions and banks. Therefore, it is not at all surprising that credit risk analysis has turned out to be one of the most important aspects of study in the finance community. As credit derivatives are long term instruments, they are affected by the changes in the market conditions. Thus, it is appropriate to take into consideration the cyclical effects of the market. This thesis addresses some of the important issues in credit risk analysis for a regime-switching market.