Ross M. Miller

Ross M. Miller is President of Miller Risk Advisors in Niskayuna, NY. Miller Risk Advisors provides risk and investment management consulting services to major international financial institutions. Previously, Ross was Senior Vice President and Director of Research at NatWest Markets in North America, serving on their domestic and global investment management committees and leading the development of new quantitative investment products Before that he was head of General Electric's quantitative finance R&D group which supported GE Capitals global efforts in risk and asset management. Ross is author of Computer-Aided Financial Analysis, and numerous articles in professional and trade journals. Ross taught finance and economics at the California Institute of Technology, Boston University, and the University of Houston. He received a B.S. in mathematics from the California Institute of Technology and an A.M. and Ph.D. in economics from Harvard University.

On December 7, 2001, John Wiley & Sons will be publishing Ross's second book, Paving Wall Street. It is available on Amazon.com and through most booksellers on and off the web.

The Miller Risk Advisors web site contains a wide selection of articles and links to his publications on the web. The some popular papers include the following:

Can Markets Learn to Avoid Bubbles? by Ross M. Miller is a companion piece to Paving Wall Street that examines how "smart markets" might be designed that are less conducive to the formation of bubbles. This article will appear a special issue of the Journal of Psychology and Financial Markets as one of a selection of invited papers on the Nasdaq/Internet bubble.
A Nonparametric Test for Credit Rating Refinements by Ross M. Miller describes a new statistical technique for comparing credit risk rating systems and uses it to show that credit ratings generated by KMV's Credit Monitor are a statistically significant refinement of S&P ratings as a predictor of defaults for a one-year time horizon. This paper was published under the title "Refining Ratings" in the August 1998 issue of Risk Magazine. The "Miller Test" developed in this paper has now been used in credit default studies produced by Moody's and KMV.
Treynor-Black Revisited: A New Application to Enterprise-Wide Portfolio Optimization by Ross M. Miller shows how the classic Treynor-Black model can be applied to a variety of portfolio risk management problems. An abridged version of this paper appears under the title "Training the Portfolio" in the Enterprise-Wide Risk Management Special Report with the November 1999 issue of Risk Magazine.
A Framework for Risk Management in Diversified Financial Companies by David P. Greene and Ross M. Miller develops a new methodology for enterprise-level risk assessment. This paper was presented at the Fischer Black Memorial Conference on Corporate Risk Management, UCLA Anderson School of Management, March 29-30, 1996.

Mailing address: Ross M. Miller, Miller Risk Advisors, 2255 Algonquin Road, Niskayuna, NY 12309.

Ross can be reached by e-mail at millerrm@alumni.caltech.edu.