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About me

Markus Pelger is an Assistant Professor at the Management Science & Engineering Department at Stanford University and a Reid and Polly Anderson Faculty Fellow at Stanford University.

His research interests are in statistics, financial econometrics, asset pricing and risk management. His work includes contributions in statistical factor analysis, high-frequency statistics, credit risk modeling and management compensation. He is particularly interested in how systematic risk factors and tail risk in the form of jumps influence the price of assets and the incentives of agents. For this purpose he has developed various statistical tools to estimate unknown risk factors from large dimensional data sets and from high-frequency data. He uses them empirically to predict asset prices and construct trading strategies.

Markus received his Ph.D. in Economics from the University of California, Berkeley. He is a scholar of the German National Merit Foundation and he was awarded a Fulbright Scholarship, the Institute for New Economic Thinking and Eliot J. Swan Prize. He has two Diplomas in Mathematics and in Economics, both with highest distinction, from the University of Bonn in Germany.

Office: Huang Engineering Center 312

Email: mpelger @ stanford.edu

Contact Information:

Department of Management Science and Engineering

Stanford University

Huang Engineering Center

475 Via Ortega

Stanford, CA 94305-4121