measuring default risk premia from swap rates and edfs antje berndt rohan douglas darrell duffie mark ferguson david schranzbardbl first version april 16 2003 current november 15 2005 abstract this paper estimates the price for bearingexposureto us corporate during 2000 2004 based on relationship between probabilities as estimated by moody s kmv cds market data obtained through cibc 39 banks specialty dealers allow to establish a strong link actual neutral in three sectors that we analyze broadcasting entertainment healthcare oil gas find dramatic variation over time peaks third quarter of 2002 dropping roughly 50 late thank ashish das jim herrity roger stein jeff bohn access edf investor services research grant partially supported her work seminar participants at cornell university chicago cmu uc santa barbara texas austin fannie mae arizona
