Dr. Peter Miu

Professor

Finance & Business Economics

CONTACT INFORMATION

Email:

miupete@mcmaster.ca

DSB Office:

DSB 320

DSB Extension:

905-525-9140 ext: 23981

BIO

Dr. Peter Miu’s research is primarily in the areas of credit risk modelling, financial institutions, exchange-traded funds, regulatory capital requirement, empirical methods, and investments. His research appears in journals such as the Journal of Financial Intermediation, Journal of Banking and Finance, Journal of Empirical Finance, and the Journal of Credit Risk. 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.

JOURNAL PUBLICATIONS

January 2023

Are Cryptocurrencies A Safe Haven For Stock Investors? A Regime-switching Approach

JOURNAL : JOURNAL OF EMPIRICAL FINANCE

CONTRIBUTORS: Leon Li, Peter Miu

Dr. Peter Miu

Professor

Finance & Business Economics

BIO

JOURNAL PUBLICATIONS

Are Cryptocurrencies A Safe Haven For Stock Investors? A Regime-switching Approach

JOURNAL : JOURNAL OF EMPIRICAL FINANCE

A Coherent Economic Framework To Model Correlations Between Pd, Lgd And Ead, And Its Applications In Ead Modelling And Ifrs-9

JOURNAL : JOURNAL OF RISK MANAGEMENT IN FINANCIAL INSTITUTIONS

Understanding Leveraged Etfs’ Compounding Effect

JOURNAL : MANAGERIAL FINANCE

A Comment On “determinants Of Nikkei Futures Mispricing In International Markets: Dividend Clustering, Currency Risk, And Transaction Costs”

JOURNAL : JOURNAL OF FUTURES MARKETS

Performance Of Japanese Leveraged Etfs

JOURNAL : PACIFIC-BASIN FINANCE JOURNAL

Behavioral Heterogeneity In The Stock Market Revisited: What Factors Drive Investors As Fundamentalists Or Chartists?

JOURNAL : JOURNAL OF BEHAVIORAL FINANCE

Intra?industry Bankruptcy Contagion: Evidence From The Pricing Of Industry Recovery Rates

JOURNAL : EUROPEAN FINANCIAL MANAGEMENT

Adapting The Basel Ii Advanced Internal-ratings-based Models For International Financial Reporting Standard 9

JOURNAL : JOURNAL OF CREDIT RISK

Determining Hurdle Rate And Capital Allocation In Credit Portfolio Management

JOURNAL : JOURNAL OF FINANCIAL SERVICES RESEARCH

A New Method To Measure The Performance Of Leveraged Exchange?traded Funds

JOURNAL : FINANCIAL REVIEW

The Pricing Efficiency Of Leveraged Exchange?traded Funds: Evidence From The U.s. Markets

JOURNAL : THE JOURNAL OF FINANCIAL RESEARCH

Recent Developments In Exchange?traded Fund Literature

JOURNAL : MANAGERIAL FINANCE

Introduction To The Special Issue On Exchange-traded Funds

JOURNAL : MANAGERIAL FINANCE

Recent Developments In Exchange?traded Fund Literature

JOURNAL : MANAGERIAL FINANCE

Emotional Balance And Probability Weighting

JOURNAL : THEORY AND DECISION

Information Asymmetry And Bank Regulation: Can The Spread Of Debt Contracts Be Explained By Recovery Rates?

JOURNAL : JOURNAL OF FINANCIAL INTERMEDIATION

The Pricing And Performance Of Leveraged Exchange-traded Funds

JOURNAL : JOURNAL OF BANKING & FINANCE

Correlation Behavior Of Emerging Markets

Managing Capital Buffers In The Pillar Ii Framework: Designing An Effective Icaap/orsa To Manage Procyclicality And To Reconcile Short-term And Long-term Views Of Capital

JOURNAL : THE JOURNAL OF RISK MODEL VALIDATION

Diversification Benefits Of Commodity Futures

JOURNAL : JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS AND MONEY

A Hybrid Bankruptcy Prediction Model With Dynamic Loadings On Accounting-ratio-based And Market-based Information: A Binary Quantile Regression Approach

JOURNAL : JOURNAL OF EMPIRICAL FINANCE

Stress-testing Probability Of Default And Migration Rate With Respect To Basel Ii Requirements

JOURNAL : THE JOURNAL OF RISK MODEL VALIDATION

Canadian Stock Market Multiples And Their Predictive Content

JOURNAL : INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

Estimating And Validating Long-run Probability Of Default With Respect To Basel Ii Requirements

JOURNAL : THE JOURNAL OF RISK MODEL VALIDATION

A Mean-gini Approach To Asset Allocation Involving Hedge Funds

JOURNAL : RESEARCH IN FINANCE

Refining Momentum Strategies By Conditioning On Prior Long?term Returns: Canadian Evidence

JOURNAL : CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES / REVUE CANADIENNE DES SCIENCES DE L ADMINISTRATION

Mean-gini Portfolio Analysis: A Pedagogic Illustration

JOURNAL : SPREADSHEETS IN EDUCATION

Basel Requirements Of Downturn Loss Given Default: Modeling And Estimating Probability Of Default And Loss Given Default Correlations

JOURNAL : THE JOURNAL OF CREDIT RISK

Practical And Theoretical Challenges In Validating Basel Parameters: Key Learnings From The Experience Of A Canadian Bank

JOURNAL : THE JOURNAL OF CREDIT RISK

Correlation Behavior Of Emerging Markets

JOURNAL : SSRN ELECTRONIC JOURNAL

OTHER PUBLICATIONS

Fire-sale Channel Of Industry Contagion: Evidence From The Pricing Of Industry Recovery Rate

Leveraged Exchange-traded Funds, A Comprehensive Guide To Structure, Pricing, And Performance

The Uneasy Case For Real Estate Investments