Diane Pierret
Assistant Professor of Finance at Luxembourg School of Finance
Links
Biography
Research interests:
- Banking, financial intermediation, liquidity risk, systemic risk, regulation, monetary policy
Education
- Doctor of Philosophy (Ph.D.) Université catholique de Louvain (2010 — 2014)
- Visiting PhD NYU Stern School of Business (2012 — 2014)
- Master's Degree CEMS - The Global Alliance in Management Education (2008 — 2009)
- CEMS Master Universität St. Gallen-Hochschule für Wirtschafts-, Rechts- und Sozialwissenschaften (2008 — 2008)
- Bachelor & Master Université catholique de Louvain (2004 — 2009)
PUBLICATIONS
- Lender of Last Resort, Buyer of Last Resort, and a Fear of Fire Sales in the Sovereign Bond Market
(with Viral Acharya and Sascha Steffen), Financial Markets, Institutions, and Instruments, May 2021. - Systemic Risk and the Solvency-Liquidity Nexus of Banks, International Journal of Central Banking, 2015, 11(3), pp. 193-227.
- Testing Macroprudential Stress Tests: the Risk of Regulatory Risk Weights (with Viral Acharya and Robert Engle), Journal of Monetary Economics, 2014, 65, pp. 36-53.
- Multivariate Volatility Modeling of Electricity Futures (with Luc Bauwens and Christian Hafner), Journal of Applied Econometrics, 2013, 28:5, pp. 743-761.
WORKING PAPERS
- The Visible Hand when Revenues Stop: Evidence from Loan and Stock Markets during COVID-19 (with François Koulischer and Roberto Steri), April 2021.
- Stressed Banks (with Roberto Steri), May 2017, revised September 2020.
- Similar Investors (with Co-Pierre Georg and Sascha Steffen), June 2018, revised February 2020.
- Green Collateral (with Artashes Karapetyan, Maximilian Rohrer and Roberto Steri), work in progress.
- Capital Requirements and Regulatory Arbitrage: A Quantitative Analysis (with Roberto Steri), work in progress.
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