We introduce an evolving network model of credit risk contagion in the credit risk transfer (CRT) market. The model considers the spillover effects of infected investors, behaviors of investors and regulators, emotional disturbance of investors, market noise, and CRT network structure on credit risk contagion. We use theoretical analysis and numerical simulation to describe the influence and active mechanism of the same spillover effects in the CRT market. We also assess the reciprocal effects of market noises, risk preference of investors, and supervisor strength of financial market regulators on credit risk contagion. This model contributes to the explicit investigation of the connection between the factors of market behavior and network structure. It also provides a theoretical framework for considering credit risk contagion in an evolving network context, which is greatly relevant for credit risk management.