This dissertation presents two studies on credit risk in emerging markets. In Chapter 1, I examine how the credit risks of corporations in nine emerging markets (EMs) affect those of their sovereigns. I construct a novel data set that combines daily corporate news and daily credit default swap (CDS) rates on EMs’ sovereign and corporate bonds. A high-frequency event-study analysis shows that a 10% surprise increase in corporate CDS rates leads to about a 3.0% rise in sovereign CDS rates within a one-day event window. Being an SOE adds another 3.5% rise in sovereign CDS rates. Being a corporation operating in a government-dependent sector adds a 3.0% rise in sovereign CDS rates. Being a large corporation adds a 2.6% to 3.8% rise in sovereign CDS rates. Stress in domestic banking sectors also contributes to additional spillovers. Among all channels, being an SOE has the most prominent effect. An extreme value analysis shows that extreme changes in sovereign CDS are more likely when CDS rates of its SOEs, government-dependent, or large corporations experience extreme changes, even after controlling for common shocks that affect both corporations and sovereigns. In Chapter 2, I study the drivers of sovereign credit default swap (CDS) rates in a group of seventeen emerging markets over July 2004-December 2017, covering the 2007-2009 Global Financial Crisis. I find that a single principal component accounts for 34, 60, 48 percent of the variation in sovereign CDS rates in the pre-crisis, crisis, and post-crisis period, respectively. Moreover, panel estimates show that: first, local factors, including stock market returns and exchange rates against the U.S. dollar, are always critical determinants of EMs’ sovereign CDS rates; second, stepping into the crisis period, U.S. stock market return and bond market volatility start to affect EMs’ sovereign CDS rates significantly; third, after the crisis ends, U.S. stock market return continues its influence, but a broader set of global factors become to play an essential role in driving EMs’ sovereign CDS rates.