Faculty Profile

PETER MIU

Finance & Business Economics

Associate Professor

Area of Expertise

Professor Miu's research is primarily in the areas of credit risk modeling, financial institutions, risk management, empirical methods and investments.

Professional Activities

Professor Miu teaches courses in financial economics and international financial management at the DeGroote School of Business. Professor Miu has consulted on such issues as validations of credit risk measures, regulatory capital for issuer risks and stress testing models. His co-authored book Basel II Implementation (McGraw-Hill, 2008) provides both the theory and practical how-to knowledge risk management professionals need to implement the concepts of Basel II in their institutions.

Selected Publications

• Liu, W., P. Miu, Y. Chang, and B. Ozdemir, 2011, Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates? forthcoming in the Journal of Financial Intermediation

• Charupat, N., and P. Miu, 2011, The pricing and performance of leveraged exchange-traded funds, Journal of Banking and Finance, vol. 35, no. 4, pp. 966-977
• Cheung, C.S., and P. Miu, 2010, Diversification Benefits of Commodity Futures, Journal of International Financial Markets, Institutions & Money, vol. 20, pp. 451-474; summarized in the CFA Digest, May 2011, Vol. 41, No. 2, CFA Institute.
• Li, M.-Y., and P. Miu, 2010, A Hybrid Bankruptcy Prediction Model with Dynamic Loadings on Accounting-Ratio-Based and Market-Based Information: A Binary Quantile Regression Approach, Journal of Empirical Finance, vol. 17, no. 4, pp. 818-833
• Cheung, C.S., and P. Miu, 2009, Currency Instability: Regime Switching versus Volatility Clustering, Quarterly Journal of Finance and Accounting, vol. 48, no. 1, pp. 67-81
• Cheung, C.S., C. Kwan, and P. Miu, 2008, A Mean-Gini Approach to Asset Allocation Involving Hedge Funds, Research in Finance, vol. 24, pp. 197-212
• Deaves, R., P. Miu, and C.B. White, 2008, Canadian Stock Market Multiples and Their Predictive Content, International Review of Economics & Finance, vol. 17, no. 3, pp. 457-466
• Deaves, R., and P. Miu, 2007, Refining Momentum Strategies by Conditioning on Prior Long-Term Returns: Canadian Evidence, Canadian Journal of Administrative Sciences, vol. 24, no. 2, pp. 135-145
• Miu, P., and B. Ozdemir, 2006, Basel Requirement of Downturn LGD: Modeling and Estimating PD & LGD Correlations, Journal of Credit Risk, vol. 2, no. 2 (Summer), pp. 43-68
• Miu, P., and B. Ozdemir, 2005, Practical and Theoretical Challenges in Validating Basel Parameters: Key Learnings from the Experience of a Canadian Bank, Journal of Credit Risk, vol. 1, no. 4 (Fall), pp. 89-136

Education
Ph. D. Finance, University of Toronto
M.B.A., Finance, University of Toronto
B.Sc. (Hon.), Civil Engineering, University of Hong Kong