Peter Miu’s research is primarily in the areas of credit risk modelling, bankruptcy prediction, financial institutions, risk management, and exchange-traded funds. His research has been published in various journals, including the Journal of Financial Intermediation, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Research and the Journal of Credit Risk, and he has written extensively on issues related to Basel II. Peter co-authored the 2008 book, Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System, which provides both the theory and practical how-to knowledge risk management professionals need to implement the concepts of Basel II. He has also co-authored Adapting to Basel III and the Financial Crises. He has consulted on such issues as validations of credit risk measures, Basel II implementation, and stress-testing models, and is a professor of finance at the DeGroote School of Business, McMaster University, where he teaches courses in financial economics, derivatives, and international finance.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.