J
Jessica Cariboni
Researcher at Katholieke Universiteit Leuven
Publications - 30
Citations - 2802
Jessica Cariboni is an academic researcher from Katholieke Universiteit Leuven. The author has contributed to research in topics: Credit risk & Credit default swap. The author has an hindex of 13, co-authored 30 publications receiving 2456 citations.
Papers
More filters
Journal ArticleDOI
An effective screening design for sensitivity analysis of large models
TL;DR: A revised version of the elementary effects method is proposed, improved in terms of both the definition of the measure and the sampling strategy, having the advantage of a lower computational cost.
Journal ArticleDOI
The role of sensitivity analysis in ecological modelling
TL;DR: In this article, the authors illustrate available best practices to run a sensitivity analysis for ecological models and demonstrate the properties of recommended methods and their ranges of application by applying the sensitivity analysis techniques to two test cases.
Book ChapterDOI
Introduction to Sensitivity Analysis
Andrea Saltelli,Marco Ratto,T.H. Andres,Francesca Campolongo,Jessica Cariboni,Debora Gatelli,Michaela Saisana,Stefano Tarantola +7 more
TL;DR: Sensitivity analysis provides users of mathematical and simulation models with tools to appreciate the dependency of the model output from model input and to investigate how important is each model input in determining its output.
Book ChapterDOI
Variance‐Based Methods
Andrea Saltelli,Marco Ratto,T.H. Andres,Francesca Campolongo,Jessica Cariboni,Debora Gatelli,Michaela Saisana,Stefano Tarantola +7 more
Book
Levy Processes in Credit Risk
Wim Schoutens,Jessica Cariboni +1 more
TL;DR: In this paper, the authors present a model for credit default swaps based on the Gamma-OU process and a single-name model with the concept of base correlation, which is similar to the one presented in this paper.