@article {Erturk55, author = {Erkan Erturk}, title = {Default Correlation Among Investment-Grade Borrowers}, volume = {9}, number = {4}, pages = {55--59}, year = {2000}, doi = {10.3905/jfi.2000.319254}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textquoteright}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.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/9/4/55}, eprint = {https://jfi.pm-research.com/content/9/4/55.full.pdf}, journal = {The Journal of Fixed Income} }