Diane Pierret

Researcher at the Volatility Institute, NYU Stern School of Business; PhD candidate in Statistics, Université Catholique de Louvain

Diane Pierret is a Researcher at the Volatility Institute at NYU Stern School of Business, and a PhD candidate in Statistics at the Université Catholique de Louvain (Belgium). Diane arrived at NYU as a Visiting Scholar in January 2012, invited by Robert Engle, to work on systemic risk. Diane’s PhD training at Université Catholique de Louvain focused on modeling the dynamic dependence in financial time series. Prior to joining Stern, she published in the Journal of Applied Econometrics (with L. Bauwens and C. Hafner) and received the R-square RiskLab DK Gupta award in 2012 for her paper called “the systemic risk of energy markets”.

With her research on systemic risk, she developed a strong interest for banking and financial intermediation. Diane’s job market paper highlights the empirical interaction between solvency and liquidity risks of banks. Her joint paper with V. Acharya and R. Engle on assessing macro-prudential stress tests (invited to the Carnegie‐Rochester Conference of the Journal of Monetary Economics) has received a lot of attention by various central banks and policy bodies in Europe and in the US.

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