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

  • Universite du Luxembourg - Luxembourg School of Finance

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 21,391

SSRN RANKINGS

Top 21,391

in Total Papers Downloads

5,794

TOTAL CITATIONS
Rank 6,099

SSRN RANKINGS

Top 6,099

in Total Papers Citations

119

Scholarly Papers (10)

Actions:
Email selected abstracts
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 1,084 (44,523)
Citation 24

Abstract:

Loading...

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 1,019 (48,586)
Citation 2

Abstract:

Loading...

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

3.

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Downloads 847 (62,739)
Citation 70

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, Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 759 (71,463)
Citation 68

Abstract:

Loading...

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 2022
Viral V. Acharya, Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 79 (679,535)
Citation 1

Abstract:

Loading...

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, Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 5 (1,372,513)
  • Add to Cart

Abstract:

Loading...

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, Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and Universite du Luxembourg - Luxembourg School of Finance
Downloads 4 (1,378,821)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

4.

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, Viral V. Acharya, Diane Pierret and Sascha Steffen
New York University (NYU) - Leonard N. Stern School of Business, Universite du Luxembourg - Luxembourg School of Finance and Frankfurt School of Finance & Management
Downloads 833 (64,185)
Citation 10

Abstract:

Loading...

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

5.

Similar Investors

Number of pages: 74 Posted: 09 Oct 2018 Last Revised: 09 Dec 2024
Co-Pierre Georg, Diane Pierret and Sascha Steffen
Frankfurt School of Finance & Management, Universite du Luxembourg - Luxembourg School of Finance and Frankfurt School of Finance & Management
Downloads 664 (159,337)
Citation 1

Abstract:

Loading...

institutional investors, liquidity risk, portfolio similarity, wholesale funding

6.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Diane Pierret
Universite du Luxembourg - Luxembourg School of Finance
Downloads 608 (96,508)
Citation 8

Abstract:

Loading...

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

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 332 (196,979)

Abstract:

Loading...

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

8.

Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023

Downloads 271 (244,219)
Citation 1

Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023

Annu. Rev. Financ. Econ. 17. Submitted. https://doi.org/10.1146/annurev-financial-112823-015828

Number of pages: 66 Posted: 13 Dec 2024 Last Revised: 03 May 2025
Viral V. Acharya, Viral V. Acharya, Markus K. Brunnermeier and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, Princeton University - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 249 (264,288)

Abstract:

Loading...

bank failures, CoVaR, financial sector fragility, leverage, MES, SRISK, stress episodes. JEL: C58, E32, G01, G12, G17, G20, G32

Systemic Risk Measures: Taking Stock from 1927 to 2023

NBER Working Paper No. w33211
Number of pages: 40 Posted: 02 Dec 2024
Viral V. Acharya, Viral V. Acharya, Markus K. Brunnermeier and Diane Pierret
New York University (NYU) - Leonard N. Stern School of Business, Princeton University - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 22 (1,172,453)
Citation 1
  • Add to Cart

Abstract:

Loading...

9.

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 M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 96 (595,292)
Citation 2

Abstract:

Loading...

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

10.

Multivariate Volatility Modeling of Electricity Futures: Online Appendix

Number of pages: 6 Posted: 10 May 2017
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 40 (938,527)
Citation 1

Abstract:

Loading...

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