Diane Pierret

Universite du Luxembourg - Luxembourg School of Finance

162a, avenue de la Faïencerie

Luxembourg-Limpertsberg, L-1511

Luxembourg

SCHOLARLY PAPERS

8

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3,173

SSRN CITATIONS
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SSRN RANKINGS

Top 11,517

in Total Papers Citations

60

CROSSREF CITATIONS

25

Scholarly Papers (8)

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 791 (31,552)
Citation 17

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capital shortfall, funding liquidity risk, short-term funding

2.

Stressed Banks

Swiss Finance Institute Research Paper No. 17-58
Number of pages: 84 Posted: 08 Nov 2017 Last Revised: 08 May 2019
Diane Pierret and Roberto Steri
Universite du Luxembourg - Luxembourg School of Finance and University of Luxembourg
Downloads 626 (43,352)
Citation 1

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Capital Regulation, Dodd-Frank Act, Stress Tests, Supervision

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: 69 Posted: 12 Apr 2016 Last Revised: 09 Oct 2018
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 618 (44,101)
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 - Leonard N. Stern School of Business - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 567 (48,706)
Citation 11

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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
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 21 (553,513)
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 - Leonard N. Stern School of Business - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 3 (683,726)
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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 - Leonard N. Stern School of Business - Department of Economics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 2 (694,512)
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 409 (73,943)
Citation 6

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

6.

Similar Investors

Number of pages: 50 Posted: 09 Oct 2018 Last Revised: 28 Apr 2019
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 106 (264,379)

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institutional investors, liquidity risk, wholesale funding

7.

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 23 (523,405)

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

8.

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 7 (624,794)
Citation 1

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