RT Journal Article SR Electronic T1 Default Correlation Among Investment-Grade Borrowers JF The Journal of Fixed Income FD Institutional Investor Journals SP 55 OP 59 DO 10.3905/jfi.2000.319254 VO 9 IS 4 A1 Erkan Erturk YR 2000 UL https://pm-research.com/content/9/4/55.abstract 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.