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Research
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Credit derivatives occupy an increasingly important position in the world of credit trading for both dealers and institutional investors. In 2007, the notional amount of credit derivatives outstanding is estimated to have increased to over $45 trillion. Banks, insurance companies, money managers and other investors worldwide now use credit derivatives to achieve a variety of objectives. Credit derivatives provide an efficient way to control credit risk, manage regulatory capital, enhance returns, and take spread volatility and correlation positions. While some investors are comfortable with complex credit derivative trading strategies, others are just beginning to enter and learn about opportunities in this market. The Structured Credit Research effort at Lehman Brothers is a joint venture of our quantitative and credit research groups. Together, we analyze developments in the credit derivatives markets, suggest profitable trading strategies, present quantitative research results, and build models for pricing and risk managing various instruments. For our clients, we balance market strategy pieces with quantitative modeling reports in order to broaden investor understanding and enhance the breadth of credit derivative opportunities. Both seasoned credit derivative investors and newcomers to the market will benefit from the insight we present in our research publications. Our research covers all structured credit products from default swaps to securitization vehicles including CDOs, CLOs and synthetics. Our publications include regular coverage of the markets in relative value, monthly coverage of CDOs and structured credit strategies, as well as numerous papers, tutorials, presentations and handbooks. Our clients have access to Lehman Brothers' extensive collection of analytics and reports over the Web, where they can monitor the markets intra-day, access our historical databases on the industry-standard Lehman Brothers Global Family of Indices, study the movements of benchmark spread curves or price structures using interactive calculators.
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