This paper deals with two methods of credit risk measurement – bond and CDS spreads. First we investigate the relationship between both mentioned spreads where we present the model assuming that both spreads should be equal. This model requires the use of a riskless bond. As a riskless bond was chosen the German bond and the following countries are investigated: Italy, Spain, Russia, China, South Korea, Brazil and Mexico in the period of 2009–2014. The evidence is given that the model does not function in general and it is explained why. In the states of the Eurozone represented by Italy and Spain the model is functioning for some periods of time. In case of other countries we introduce the idea of choosing different relevant riskless bond other than German.