Abstract: In this talk we consider so-called top-down approaches to the pricing of CDOs. This approach directly models the forward term structure of losses of a CDO in a Heath-Jarrow-Morton like fashion and derives conditions under which the model is free of arbitrage. We consider an affine specifcation for this and also analyze the relationship of different securities, and consider the pricing of derivatives on CDOs. This is joint work with D. Filipovic and L. Overbeck