Alexander Cavallo

Northern Trust Corporation

Vice President

50 South LaSalle Street

Chicago, IL 60603

United States

SCHOLARLY PAPERS

3

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SSRN CITATIONS
Rank 42,999

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Top 42,999

in Total Papers Citations

7

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Estimating Operational Risk Capital: The Challenges of Truncation, the Hazards of MLE, and the Promise of Robust Statistics

The Journal of Operational Risk, Forthcoming
Number of pages: 70 Posted: 23 Jan 2012 Last Revised: 03 Aug 2012
J.D. Opdyke and Alexander Cavallo
DataMineit, LLC; Allstate and Northern Trust Corporation
Downloads 457 (65,587)
Citation 6

Abstract:

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2.

Treatment of the Data Collection Threshold in Operational Risk: A Case Study with the Lognormal Distribution

The Journal of Operational Risk, Vol. 7, No. 1, Spring 2012.
Number of pages: 33 Posted: 31 Aug 2010 Last Revised: 10 Feb 2012
Alexander Cavallo, Benjamin Rosenthal, Xiao Wang and Jun Yan
Northern Trust Corporation, Northern Trust Corporation, University of Connecticut - Department of Statistics and University of Connecticut - Department of Statistics
Downloads 449 (66,935)
Citation 1

Abstract:

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Operational risk, Regulatory capital, Loss distribution, Data truncation, Shifted distribution, Vuong's test, Severity distribution, Basel II

3.

Operational Risk Capital Estimation and Planning: Exact Sensitivity Analysis and Business Decision Making Using the Influence Function

Operational Risk: New Frontiers Explored, Risk Books, ed. E. Davis, London, Forthcoming
Number of pages: 56 Posted: 31 Jul 2012
J.D. Opdyke and Alexander Cavallo
DataMineit, LLC; Allstate and Northern Trust Corporation
Downloads 211 (152,016)

Abstract:

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Robust Statistics, Severity, Capital Estimation, Influence Function, Sensitivity Analysis, OBRE, MLE, Basel II