Marius Pfeuffer

Marius Pfeuffer

 
Office: LG 4.168
Phone: +49 (0) 911 – 5302 – 271
E-Mail: marius.pfeuffer@fau.de
Office hours: Wednesday, 15.00 – 16.00
(by appointment)
Information: Curriculum Vitae
Teaching
Research

Curriculum Vitae

Personal Information
Name: Pfeuffer, Marius
Date of Birth: July 17, 1990
Place of Birth: Würzburg
Education
03/2016 M.Sc. Statistics – Ludwig Maximilian University, Munich
07/2012 B.Sc. Statistics – Ludwig Maximilian University, Munich
06/2009 General Qualification for University Entrance – Matthias Grünewald Gymnasium, Würzburg
01/2007 – 09/2007 Student exchange – Rosehill College, Auckland, New Zealand
Awards
04/2017 Master Thesis Award of DZ Bank Group: 3rd Prize
Professional Experience
04/2016 – Research and teaching assistant – Chair of Statistics and Econometrics, University of Erlangen-Nuremberg
08/2015 – 02/2016 Master thesis in cooperation with the Department Credit Risk Control, Bayerische Landesbank, Munich
08/2014 – 12/2014 Master module „Statistical Consulting“ – Department Credit Risk Control, Bayerische Landesbank, Munich
12/2013 – 05/2014 Working student – Risklab, Allianz Global Investors, Munich
08/2013 – 10/2013 Internship – Risklab, Allianz Global Investors, Munich
12/2012 – 03/2013 Internship – Department Credit Risk Control, Bayerische Landesbank, Munich
10/2011 – 11/2012 Internship – MP Konstantin von Notz, German Parliament, Berlin

Teaching

  • Winter term 2017/18:
    • Teaching assistant in Statistics (Bachelor)
  • Summer term 2017:
    • Teaching assistant at the Sarntal Summer School: Seminar Statistical Methods in Operational Risk Management (Master)
    • Teaching assistant in Computational Statistics (Master)
  • Winter term 2016/17:
    • Teaching assistant in Statistics (Bachelor)
  • Summer term 2016:
    • Teaching assistant at the Sarntal Summer School: Seminar Dependence Modeling in Credit Risk Management (Master)
    • Teaching assistant in Computational Statistics (Master)
    • Teaching assistant in Statistics (Bachelor)

Research Interests

  • Markov Chains
  • Bayesian Inference
  • Credit Risk
  • Operational Risk

Software

  • R Package ctmcd for estimating Markov generator matrices from discrete-time data
  • R Package OpVaR for modeling operational (value-at-)risk

Publications

  • M. Pfeuffer: ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data. The R Journal, To Appear, 2017+
  • M. Fischer, D. Kraus, M. Pfeuffer, C. Czado: Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks 5(3):38, 2017
  • M. Fischer, M. Pfeuffer: IFRS 9 Impairment von Finanzinstrumenten: Parametrische Schätzung von PD Kurven. Risiko Manager 11(7):10-14, 2016
  • M. Pfeuffer, M. Fischer: Connecting Rating Migration Matrices and the Business Cycle By Means of Generalized Regression Models. Applied Stochastic Models in Business and Industry 32(5):639-647, 2016
  • M. Pfeuffer, M. Fischer: IFRS 9 Impairment von Finanzinstrumenten: Schätzung konjunkturabhängiger PD Kurven. Risiko Manager 10(25-26):1,7-10, 2015
  • M. Fischer, M. Pfeuffer: A Statistical Repertoire for Quantitative Loss-Given-Default Validation: Overview, Illustration, Pitfalls and Extensions. Journal of Risk Model Validation 8(1):1-27, 2014

Presentations

  • Estimation and Bias Correction of Asset Correlations in the Vasicek Credit Portfolio Model. Computational and Financial Econometrics Conference, London, 2017
  • Parameter Estimation and Bias Correction in the Vasicek Credit Portfolio Model. Invited Talk, University of Edinburgh, 2017
  • Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data with ctmcd. UseR! Conference, Brussels, 2017, Video

Referee

  • Journal of Credit Risk