Traditional finance studies of credit risk structured models are based on the assumption that the price of the underlying asset obeys a stochastic differential equation. However, according to behavioral finance, the price of the underlying asset is not entirely stochastic, and the credibility of financial investors also plays a very important role in asset prices. In this paper we introduce uncertainty theory to describe these credibility of investors and propose a new credit risk structured model with jumps based on the assumption that the underlying asset is described by an uncertain differential equation with jumps. The company default belief degree formula, zero coupon bond value and stock value formula are formulated. Company bond credit spread and credit default swap (CDS) pricing are studied as applications of the proposed model in uncertain markets.