Counterparty　credit　risk　of　the　financial　derivatives　transaction　is　the　risk　that　one　party　has　a　default　before　the　expiration　of　the　contract.　This　research　investigates　the　unilateral　counterparty　credit　risk　of　credit　default　swap　(CDS).　Under　different　assumptions,　three　different　information　models　are　built.　They　are,　the　basic　model　with　no　counterparty　credit　risk,　the　model　considering　unilateral　counterparty　risk,　and　the　model　considering　unilateral　counterparty　risk　as　well　as　the　collateral.　Through　comparing　and　analyzing　these　models,　the　conclusion　is:　considering　counterparty　credit　risk　in　the　transaction　process　facilitates　trading　in　a　cautious　manner;　nevertheless,　because　of　the　assessment　accuracy　issue　for　the　counterparty　credit　risk,　the　success　of　such　transactions　may　result　in　concentration　of　risk　in　the　market;　the　collateral　factors　can　increase　the　expected　income　and　consequently　promote　the　transactions.　However,　since　it　may　be　insufficient　to　eliminate　counterparty　credit　risk　through　the　collateral,　investors　may　still　suffer　from　unexpected　losses.　In　the　end,　the　development　of　the　CDS　market　before　and　after　the　financial　crisis　from　the　perspective　of　the　counterparty　credit　risk　is　analyzed.　©　2011　IEEE.