PT  - JOURNAL ARTICLE
AU  - Erkan Erturk
TI  - Default Correlation Among Investment-Grade Borrowers
AID  - 10.3905/jfi.2000.319254
DP  - 2000 Mar 31
TA  - The Journal of Fixed Income
PG  - 55--59
VI  - 9
IP  - 4
4099  - https://pm-research.com/content/9/4/55.short
4100  - https://pm-research.com/content/9/4/55.full
AB  - Default correlation is important for analysts assessing the credit risk in jointly supported transactions such as swaps and asset-backed transactions. The effect of default correlation has implication for a transaction's total default risk. This study provides evidence that there are no default correlations among investment-grade default events in short time periods. Nor does the empirical evidence support the view that the general economy and investment-grade defaults are related in short time periods. That is, short-term default risks among investment-grade borrowers can be entirely diversified.