This 294-page document from the Bank for International Settlements stems from the Estimating and Interpreting Probability Density Functions workshop held on June 14, 1999. The conference proceedings, which may be downloaded as a complete document or by chapter, are divided into two sections: "Estimation Techniques" and "Applications and Economic Interpretation." Both contain papers presented at the conference. Also included are a list of the program participants with their affiliations and email addresses, a forward, and background notes.