As one of the most popular credit derivatives in the last ten years, CDO is widely applied to the risk management of foreign banks and other financial institutions. The innovation and pricing of CDO and other financial derivatives have been paid to close attention in the recent US subprime crisis. Basic CDO pricing models with a focus on the BET, the Copula model and the Factor Copula model commonly used in current financial industry were introduced and analyzed systematically. Both the Factor Copula mode and the dynamic model were reviewed briefly. Future research trends in this field are also pointed.