Diane Pierret

Universite du Luxembourg - Luxembourg School of Finance

162a, avenue de la Faïencerie

Luxembourg-Limpertsberg, L-1511

Luxembourg

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

9

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Top 16,045

in Total Papers Downloads

3,700

SSRN CITATIONS
Rank 8,056

SSRN RANKINGS

Top 8,056

in Total Papers Citations

133

CROSSREF CITATIONS

26

Scholarly Papers (9)

1.

Systemic Risk and the Solvency-Liquidity Nexus of Banks

Number of pages: 54 Posted: 30 Oct 2013 Last Revised: 03 Aug 2016
Diane Pierret
Universite du Luxembourg - Luxembourg School of Finance
Downloads 856 (33,523)
Citation 20

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capital shortfall, funding liquidity risk, short-term funding

2.

Stressed Banks

Number of pages: 59 Posted: 08 Nov 2017 Last Revised: 02 Nov 2020
Diane Pierret and Roberto Steri
Universite du Luxembourg - Luxembourg School of Finance and University of Luxembourg
Downloads 742 (40,753)
Citation 2

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Financial Stability, Supervision, Capital Regulation, Dodd-Frank Act, Bank Profitability

3.

Lender of Last Resort, Buyer of Last Resort, and a Fear of Fire Sales in the Sovereign Bond Market

ZEW - Centre for European Economic Research Discussion Paper No. 16-019, Swiss Finance Institute Research Paper No. 18-35
Number of pages: 67 Posted: 12 Apr 2016 Last Revised: 28 Dec 2020
Viral V. Acharya, Diane Pierret and Sascha Steffen
New York University - Leonard N. Stern School of Business, Universite du Luxembourg - Luxembourg School of Finance and Frankfurt School of Finance & Management
Downloads 677 (46,171)
Citation 3

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Bank-sovereign nexus, ECB, financial stability, unconventional monetary policy

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Number of pages: 51 Posted: 04 Apr 2013 Last Revised: 01 Oct 2015
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 618 (51,384)
Citation 28

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macroprudential regulation, stress test, systemic risk, risk-weighted assets

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

NBER Working Paper No. w18968
Number of pages: 45 Posted: 20 Apr 2013 Last Revised: 01 May 2021
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 31 (560,289)
Citation 1

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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9431
Number of pages: 48 Posted: 16 Apr 2013
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 3 (773,365)
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

CEPR Discussion Paper No. DP9800
Number of pages: 51 Posted: 02 Jun 2014
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 2 (784,709)
Citation 1
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macroprudential regulation, risk-weighted assets, stress test, systemic risk

5.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Diane Pierret
Universite du Luxembourg - Luxembourg School of Finance
Downloads 436 (80,114)
Citation 8

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energy crisis, factor models, marginal expected shortfall, market integration

6.

Similar Investors

Number of pages: 70 Posted: 09 Oct 2018 Last Revised: 03 Mar 2020
Co-Pierre Georg, Diane Pierret and Sascha Steffen
University of Cape Town, Universite du Luxembourg - Luxembourg School of Finance and Frankfurt School of Finance & Management
Downloads 195 (186,455)
Citation 1

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institutional investors, liquidity risk, wholesale funding

7.

The Visible Hand when Revenues Stop: Evidence from Loan and Stock Markets during COVID-19

Number of pages: 63 Posted: 24 Nov 2020 Last Revised: 12 Apr 2021
Francois Koulischer, Diane Pierret and Roberto Steri
University of Luxembourg, Universite du Luxembourg - Luxembourg School of Finance and University of Luxembourg
Downloads 104 (307,015)

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corporate debt, debt overhang, guarantees, market failure, public interventions, market value

8.

Multivariate Volatility Modeling of Electricity Futures

Journal of Applied Econometrics, 28/5, 743-761, 2013
Number of pages: 24 Posted: 09 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 27 (569,166)
Citation 2

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures

9.

Multivariate Volatility Modeling of Electricity Futures: Online Appendix

Number of pages: 6 Posted: 10 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 9 (694,042)
Citation 1

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures