This thesis gives an introduction to securitization in general and the Tranching of collateralized debt obligations in particular. It does this by using a firm-value model to simulate the underlying portfolio via monte-carlo simulations.The simulations in turn give a loss-distribution from which the various Tranchings of the CDO?s are derived. To get an understanding of the influence of different variables involved in the Tranching the simulations are repeated several times where the portfolio variables are changed to generate different Tranchings. This to give a understanding of the influence different variables have on the Tranching and consequently risks involved in CDO?s in particular but also general risks and problems of securitizations..

The purpose of the study is to highlight the issue of student loans securitization, and assure the importance and benefits that could be realized by performing such a transaction. The methodology is a case study for The National Board of Student Aid. It is a qualitative study, mainly using interviews, literature and scientific articles. By using this information we construct a securitization transaction structure ?CSN 2006-1?, and conduct a cost/benefit analysis.