The paper investigates whether managers learn about their own default risk through feedback from credit default swap (CDS) spreads and, if so, whether this learning can improve their risk management. I find that managers who learn more from CDS market feedback improve the leverage ratio and are more likely to record contingent liabilities in the following year than those who do not. Also, I find that overconfident managers, who are likely to rely less on outsiders’ judgment about their own firms, are less likely to record impairments or writedowns, compared to those who learn from CDS spreads. Finally, I find that the CDS learning channel is more effective with higher analyst following and disagreement. Overall, the feedback from CDS spreads appears to be more relevant when learning about downside risk, compared to the feedback from stock prices that resolve upside uncertainties such as potential investment opportunities.