Dr. Miu’s research is primarily in the areas of credit risk modelling, financial institutions, exchange-traded funds, regulatory capital requirement, empirical methods, and investments.
Dr. Miu teaches courses in financial economics and derivatives at the DeGroote School of Business. Dr. Miu has consulted on such issues as validations of credit risk measures, regulatory and economic capital requirements, and stress testing models. His co-authored books on Basel II and III provide both the theory and practical how-to knowledge risk management professionals need to implement the concepts of these regulatory requirements in their institutions.
Dr. Miu currently holds the Michael Lee-Chin & Family Professorship in Strategic Business Studies. He is the recipient of the Research to Practice Excellence Award (2013) of the DeGroote School of Business.
Adapting to Basel III and the Financial Crisis: Re-engineering Capital, Business Mix, and Performance Management Practices, 2013, Risk Books, Incisive Media, London, UK (co-authored with Bogie Ozdemir).
Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System, 2008, McGraw-Hill, New York (co-authored with Bogie Ozdemir).
Selected Journal Publications
Charupat, N., and P. Miu, 2014. A New Method to Measure the Performance of Leveraged Exchange-Traded Funds. Forthcoming in the Financial Review.
Charupat, N., and P. Miu, 2013. The pricing efficiency of leveraged exchange-traded funds: Evidence from the US markets. Journal of Financial Research 36(2), 253-278.
Charupat, N., and P. Miu, 2013. Recent Developments in Exchange-Traded Fund Literature: Pricing Efficiency, Tracking Ability, and Effects on Underlying Securities. Managerial Finance 39(5), 427 – 443.
Liu, W., P. Miu, Y. Chang, and B. Ozdemir, 2012. Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates? Journal of Financial Intermediation 21(1), 123-150.
Charupat, N., and P. Miu, 2011. The pricing and performance of leveraged exchange-traded funds. Journal of Banking and Finance 35(4), 966-977 (summarized in the CFA Digest 41(2), 76-78, CFA Institute).
Cheung, C.S., and P. Miu, 2010. Diversification Benefits of Commodity Futures. Journal of International Financial Markets, Institutions & Money 20, 451-474 (summarized in the CFA Digest 41(2), 1-3, 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 17(4), 818-833.
Cheung, C.S., and P. Miu, 2009. Currency Instability: Regime Switching versus Volatility Clustering. Quarterly Journal of Finance and Accounting 48(1), 67-81.
Deaves, R., P. Miu, and C.B. White, 2008. Canadian Stock Market Multiples and Their Predictive Content. International Review of Economics & Finance 17(3), 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 24(2), 135-145.
Miu, P., and B. Ozdemir, 2006. Basel Requirement of Downturn LGD: Modeling and Estimating PD & LGD Correlations. Journal of Credit Risk 2(2), 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 1(4), 89-136.