Abstract
Over the course of a few decades, asset securitization has evolved into a vast and diverse financial instrument. Bases for the marketability of these securities are valuation and risk management techniques allowing for reasonable pricing formulas and hedging schemes. Therefore, a key issue is the modeling of cash flows of a portfolio of assets as well as the statistical modeling of uncertainties of such cash flows in the future. This article reviews some aspects of so-called collateralized debt obligations (CDOs) and related instruments. The modeling of underlying credit risks plays an important role in this context. As such, this review naturally has a special focus on the modeling of structured credit portfolios.
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