We develop a structural model incorporated with both macroeconomic risks and jump risks. We provide the analytic formulas for the default probability, the equity price and the CDS spreads and show that combination between the two assists better explanation for credit risks in the real world. Based on the actually calibrated parameters of individual firms, we find that there is an evidence for existence of fundamental macro factors and that the default probability can be dependent on the current economic state. Moreover, our model could better predict the default probability and overcome the underestimation of credit risks especially for the high credit rated firms, which has always been one of the major limitations for the structural models.