the BIS held a workshop on "The pricing of credit risk". This event brought together central bankers, academics and market practitioners to exchange views on this issue (see the conference programme in this document). This paper was presented at the workshop. The views expressed are those of the author(s) and not those of the BIS. v BIS workshop on "The pricing of credit risk"

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for research assistance, and to Linda Bethel and Sandra Berg for technical assistance. This paper is a comprehensive revision of our previous work, entitled "Measuring Default Risk Premia from Default Swap Rates and EDFs." The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at http://www.nber.org/papers/w24213.ack NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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