TY - JOUR T1 - Default Correlation Among Investment-Grade Borrowers JF - The Journal of Fixed Income SP - 55 LP - 59 DO - 10.3905/jfi.2000.319254 VL - 9 IS - 4 AU - Erkan Erturk Y1 - 2000/03/31 UR - https://pm-research.com/content/9/4/55.abstract N2 - 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. ER -