J.D. Opdyke

DataMineit, LLC; Allstate

Senior Risk Officer, Head of Enterprise-level Economic Capital Measurement and Management

FL

United States

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

SCHOLARLY PAPERS

13

DOWNLOADS
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SSRN RANKINGS

Top 19,725

in Total Papers Downloads

3,389

SSRN CITATIONS
Rank 19,827

SSRN RANKINGS

Top 19,827

in Total Papers Citations

10

CROSSREF CITATIONS

42

Ideas:
“  1. Full Probabilistic Control of Scenario/Stress Testing the Correlation Matrix (Even When Eigenvalues are Empirically Challenging) 2. Reasonably accurate, precise, and robust extreme quantile estimation.  ”

Scholarly Papers (13)

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; Allstate
Downloads 1,497 (16,326)
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; Allstate and Northern Trust Corporation
Downloads 479 (78,020)
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; Allstate
Downloads 277 (144,015)

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; Allstate and Northern Trust Corporation
Downloads 217 (182,823)

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; Allstate
Downloads 193 (203,636)

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; Allstate
Downloads 177 (219,703)

Abstract:

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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; Allstate
Downloads 171 (226,264)

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; Allstate
Downloads 140 (266,791)

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; Allstate
Downloads 123 (294,330)

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; Allstate
Downloads 70 (419,888)
Citation 1

Abstract:

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

11.

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: 20 Oct 2020
J.D. Opdyke
DataMineit, LLC; Allstate
Downloads 24 (631,240)

Abstract:

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

12.
Downloads 20 (659,390)

Abstract:

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

13.

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; Allstate
Downloads 1 (813,650)
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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