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Faculty Spotlight: Markus Pelger

Meet Markus Pelger, Assistant Professor of MS&E. Markus received his PhD in Economics from the University of California, Berkeley. He has two diplomas in Mathematics and in Economics, both with highest distinction, from the  University of Bonn in Germany.

"I think risk management is relevant for everyone — the better you manage risks, the better your decisions are."

Explain your research area and its impact.

My current research focuses on how to use machine learning to understand financial asset pricing. We want to evaluate the right sources of risk, and we want to use data and technology to manage it even better. It may not sound as glamourous as building something you can use, but it’s just as important, especially when it comes to making important financial decisions or avoiding a financial crisis. I think risk management is relevant for everyone — the better you manage risks, the better your decisions are.

How did you become interested in your field of study?

When I was younger, I liked math, and I think biggest reason I liked it was because I liked the challenge. I wanted to study something I had to work at, and you need to work hard to solve these problems.

I didn’t plan on becoming an engineer. I was a mathematician first and then an economist. I really liked the logic and thinking behind modeling problems, but I also liked learning about financial markets and how they worked. There’s a term in economics called hedging, which essentially means protecting yourself against downside risk; when you buy two assets, for example, and one asset goes down, the other one should go up so that you're still protected. I guess you could say I wanted to hedge some vocational risk by completing degrees in both economics and mathematics. Now, I’m what you would call a financial engineer.

How do you see your work fitting into the department of Management Science and Engineering?

Our department is very interdisciplinary, and I like that because we look at challenges from all sides. I work with people from a variety of fields — business, computer science, the social sciences — and I think that’s important in managing risk. You need all of those things when designing policies or solutions to bigger social problems. I always tell students to adopt an interdisciplinary mindset when you approach anything. Take some classes in the stats department or the computer science department and try to understand the field where you want your questions answered.

 

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PHOTO CREDIT: CHOR SENG TAN

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