The international credit and capital markets have been characterized by significant structural changes in recent years. The securitization of assets as an alternative form of corporate financing has greatly attracted the interest of market participants. The recently developed Collateralized Debt Obligations (CDOs) are structured financial transactions and form a subcategory of Asset Backed Securities (ABS), meaning securities backed by specific assets. They securitize claims with varying priorities on the assets of the reference portfolio, thereby creating different tranches with specific risk-return profiles. The growth of this market segment is enormous: while the global CDO issuance volume was $157.4 billion in 2004, it had already reached approximately $322 billion by the third quarter of 2006, representing an increase of 104%.