J.D. Opdyke

DataMineit, LLC

Chief Analytics Officer, Senior Managing Director

FL

United States

http://www.DataMineIt.com/index.htm

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 19,907

SSRN RANKINGS

Top 19,907

in Total Papers Downloads

3,589

SSRN CITATIONS
Rank 19,668

SSRN RANKINGS

Top 19,668

in Total Papers Citations

10

CROSSREF CITATIONS

42

Scholarly Papers (14)

1.

Comparing Sharpe Ratios: So Where are the P-Values?

Journal of Asset Management, Vol. 8, No. 5, pp. 308-336
Number of pages: 30 Posted: 03 Mar 2006 Last Revised: 19 Mar 2008
J.D. Opdyke
DataMineit, LLC
Downloads 1,617 (15,599)
Citation 3

Abstract:

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performance, risk, portfolio, mutual fund, hedge fund, asymmetry, heavy tails

2.

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 and Northern Trust Corporation
Downloads 490 (81,154)
Citation 6

Abstract:

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3.

A Unified Approach to Algorithms Generating Unrestricted and Restricted Integer Compositions and Integer Partitions

Journal of Mathematical Modelling and Algorithms
Number of pages: 36 Posted: 18 Aug 2008 Last Revised: 31 Jan 2011
J.D. Opdyke
DataMineit, LLC
Downloads 281 (150,845)

Abstract:

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Integer Compositions, Integer Partitions, Bounded Compositions, Bounded Partitions, Pascal's triangle, Fibonacci

4.

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 and Northern Trust Corporation
Downloads 222 (189,760)

Abstract:

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

5.

Much Faster Bootstraps Using SAS®

InterStat, October 2010
Number of pages: 23 Posted: 17 Oct 2010 Last Revised: 30 Jan 2011
J.D. Opdyke
DataMineit, LLC
Downloads 198 (211,045)

Abstract:

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Bootstrap, SAS, Scalable, Hashing, Sampling, with Replacement

6.

A Powerful and Robust Nonparametric Statistic for Joint Mean-Variance Quality Control

InterStat, September 2009
Number of pages: 16 Posted: 23 Mar 2006 Last Revised: 02 Nov 2010
J.D. Opdyke
DataMineit, LLC
Downloads 178 (231,667)

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Maximum test, Location-Scale, Statistical process control, Six sigma, Telecommunications, CLEC

7.

Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness

Forthcoming, Journal of Operational Risk, Issue 9, No.4, December, 2014.
Number of pages: 79 Posted: 30 Apr 2013 Last Revised: 28 Nov 2014
J.D. Opdyke
DataMineit, LLC
Downloads 172 (238,452)

Abstract:

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Operational Risk, Basel II, Jensen's Inequality, Regulatory Capital, Economic Capital, Severity Distribution

8.

Bootstraps, Permutation Tests, and Sampling Orders of Magnitude Faster Using SAS®

Computational Statistics: WIREs Reviews, Vol 5(4).
Number of pages: 61 Posted: 30 May 2013 Last Revised: 11 Oct 2017
J.D. Opdyke
DataMineit, LLC
Downloads 149 (268,587)

Abstract:

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Bootstrap, Permutation, SAS, Scalable, Hashing, With Replacement, Without Replacement, Sampling

9.

Permutation Tests (and Sampling Without Replacement) Orders of Magnitude Faster Using SAS®

InterStat, January 2011
Number of pages: 40 Posted: 24 Jan 2011 Last Revised: 31 Jan 2011
J.D. Opdyke
DataMineit, LLC
Downloads 123 (311,045)

Abstract:

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Permutation, SAS, Scalable, Without Replacement, Sampling, SRSWOR

10.

Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions

Journal of Operational Risk, Forthcoming
Number of pages: 29 Posted: 13 Oct 2016 Last Revised: 17 Jul 2017
J.D. Opdyke
DataMineit, LLC
Downloads 72 (435,900)
Citation 1

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Basel II, ORSA, Economic Capital, Regulatory Capital, Value-At-Risk, AMA, Loss Distribution Approach, Single Loss Approximation, Solvency II

11.
Downloads 35 (593,291)

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correlation matrix, stress testing, scenario, financial portfolio, hypersphere, positive definite, polar angles, random matrix theory

12.

Full Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of the Correlation Matrix (Even When Eigenvalues are Empirically Challenging)

QuantMinds/RiskMinds September 22-23, 2020
Number of pages: 45 Posted: 16 Oct 2020 Last Revised: 13 Mar 2022
J.D. Opdyke
DataMineit, LLC
Downloads 28 (642,217)

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Pearson’s, Correlation, Stress Test, Spherical, Angles, Decomposition, Covariance, Polar

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VaR, Jensen's Inequality, Quantile, Tail Estimation, Convexity, Economic Capital, Loss Distribution

14.

Fast, Accurate and Straightforward Extreme Quantiles of Compound Loss Distributions

Journal of Operational Risk, Forthcoming
Number of pages: 30 Posted: 05 Oct 2017
J.D. Opdyke
DataMineit, LLC
Downloads 1 (874,044)
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Abstract:

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Economic Capital, Value-at-Risk (VaR), Advanced Measurement Approach (AMA), Loss Distribution Approach (LDA), Single-Loss Approximation (SLA), Solvency II