Publications / Invited Presentations / Conference Chairs
DataMineit professionals have published multiple award-winning papers in risk analytics, statistical computation and optimization techniques that have wide ranging applicability; they provide actionable, testable solutions to concrete and often urgent business problems in Corporate Banking/Operational Risk, Venture Capital, Mortgage Banking/Credit Risk, Financial Services, Retail Pricing and Marketing, Telecommunications, and just about any data rich field.
Opdyke, J.D. (2018), Predictive Risk Analytics-Data-Driven Risk Measurement and Mitigation for Competitive Market Advantage
Opdyke, J.D. (2018), "Doing VaR Right: Eliminating Convexity and Approximation Biases from Heavy-tailed, Moderately-sized Samples," forthcoming, 2018.
Opdyke, J.D., (2017), "Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions," The Journal of Operational Risk, Volume 12, Issue 4, 1-30, December, 2017. PREPRINT. arXiv PREPRINT. SSRN PREPRINT.
Opdyke, J.D. (2016), Invited Speaker, RiskMinds Americas 2016, "If not AMA, or SMA, then What? A Robust, Risk Sensitive, and Internally Consistent OpRisk Capital Estimation and Stress Testing Framework," Chicago, IL, September 20-23, 2016.
Opdyke, J.D. (2016), Invited Speaker, Quant Summit USA 2016, Risk.Net, "The Challenges of, and Practical Solutions to, Capital Aggregation and Allocation under Heavy-Tailed, Empirical Loss Distributions," New York, New York, July 12-13, 2016.
Opdyke, J.D. (2016), Invited Speaker, Chairman -- Quant Studies for OpRisk Stream, OpRisk North America-2016, "Operational Risk Regulatory Capital Estimation," New York, New York, March 15-16, 2016.
Opdyke, J.D. (2016), Invited Speaker, Global Association of Risk Professionals (GARP), 17th Annual Risk Management Convention, "Operational Risk Modeling," New York, New York, March 1-2, 2016.
Opdyke, J.D. (2015), Conference Chairperson and Invited Speaker, Operational Risk Management Forum: Marcus Evans North America, "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," New York, New York, September 16-17, 2015.
Opdyke, J.D. (2015), Operational Risk eXchange (ORX) Analytics Forum, "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Milan, Italy, May 21-22, 2015.
Opdyke, J.D. (2015), Invited Speaker and Moderator, OpRisk North America-2015, “Extreme Losses and Operational Risk Capital: Myths and Realities,” New York, New York, March, 2015.
Opdyke, J.D. (2014), Risk Week - Yale, "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Risk Seminars - Incisive Media, Invited Speaker, New Haven, CT, December 9-14, 2014.
Opdyke, J.D. (2014), Joint Statistical Meetings-2014, "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," American Statistical Association Proceedings - JSM2014, Section on Risk Analysis, Boston, MA, August 2-7, 2014.
Opdyke, J.D. (2014), OpRisk North America-2014, “From Loss Data to Capital: Implementing a Comprehensive Operational Risk Capital Estimation Framework Under the AMA-LDA,” Invited Workshop Leader, 4-session, 6 hour Workshop, March, 2014.
WINNER - 2015 ORR Innovation Awards, Voted "Paper of the Year" by OPERATIONAL
RISK & REGULATION staff in consultation with industry experts.
Opdyke, J.D. (2014), "Estimating Operational Risk Capital with Greater
Accuracy, Precision, and Robustness",
The
Journal of Operational Risk, Volume 9, Issue 4, 3-79, December, 2014. current downloads: Errata
to published manuscript,
PREPRINT,
SSRN
PREPRINT, arXiv PREPRINT,
Scrib-PREPRINT,
PRESENTATION-DECK,
scrib-Deck.
Opdyke, J.D. (2013), "Bootstraps, Permutation Tests, and Sampling Orders of Magnitude Faster Using SAS®," Computational Statistics - WIRE Interdisciplinary Reviews, Vol. 5, Issue 5, 391-405 (.pdf full preprint, .pdf Appendices only, SSRN download, scrib download, KDNuggets).
Opdyke, J.D. (2012), "Better Capital Estimation via Exact Sensitivity Analysis Using the Influence Function," American Bankers Association: ABA Operational Risk Modeling Forum, Invited Speaker, Washington, DC, July 18-20, current downloads: ABSTRACT, .pdf, scrib.
Opdyke, J.D., (2012), "Estimating Operational Risk Capital: the Challenges of
Truncation, the Hazards of MLE, and the Promise of Robust Statistics," with Alex Cavallo,
The
Journal of Operational Risk, 7(3), 3-90. (preprint
download,
SSRN
download, Scrib download).
Opdyke, J.D., (2012), "Operational Risk Capital Estimation and Planning: Exact Sensitivity Analysis and Business Decision Making Using the Influence Function," with Alex Cavallo, in Operational Risk: New Frontiers Explored, Davis E., ed., Risk Books, London. (preprint download, SSRN download, Scrib download)
Opdyke, J.D., (2011), Robust Statistics vs. MLE for OpRisk Severity Distribution Parameter Estimation (With and Without Truncation), ORX Analytics Forum, San Francisco, California, September 27-29, 2011, Invited Speaker, current downloads: ABSTRACT, .pps, .pdf, scrib.
Opdyke, J.D., (2011), Robust Statistics vs. MLE for OpRisk Severity Distribution Parameter Estimation, American Bankers Association: ABA Operational Risk Modeling Forum, Charlotte, North Carolina, August 10-11, 2011, Invited Speaker, current downloads .pps, .pdf, scrib.
Opdyke, J.D., (2011), Bootstraps, Permutation Tests, and Sampling With and Without Replacement Orders of Magnitude Faster Using SAS®, American Statistical Association Proceedings - JSM2011, Section on Statistical Computing, download .pps, .pdf, scrib.
Opdyke, J.D., January (2011), Permutation Tests (and Sampling Without Replacement) Orders of Magnitude Faster Using SAS®, InterStat. (preprint download, SSRN download, Scribe download, Text file containing code MFPTUS.sas, KDNuggets)
[download even faster, proprietary versions of these Bootstrap, Permutation
Test, and Sampling
With and Without Replacement algorithms, saved as compiled SAS®
macros, at
http://www.DataMineIt.com/DMI_software.htm]
Opdyke, J.D., September (2010),
Much Faster Bootstraps Using SAS®,
InterStat.
(preprint
download,
Scribe download,
SSRN download,
Text file containing SAS®
code MFBUS.sas,
KDNuggets)
Opdyke, J.D., March (2010), A Unified Approach to Algorithms Generating Unrestricted and Restricted Integer Compositions and Integer Partitions, Journal of Mathematical Modelling and Algorithms, Vol. 9, No. 1, 53-97. (preprint-direct download, SSRN.com download, including SAS® code, Scribe download with SAS® code, Mathematica® code implementing counting formulae: zipped Mathematica® notebook .nb, .html)
ALREADY USED/CITED IN:
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stock trading strategies and related peer reviewed publications (http://papers.ssrn.com/sol3/Delivery.cfm?abstractid=1494282)
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derived formulae define multiple OEIS Sloane sequences (A017898, A078012, A017899, A013982):
(https://oeis.org/search?q=j.d.+opdyke&sort=&language=&go=Search) -
algorithms for pricing covered bonds and related peer reviewed publications (http://www.greta.it/credit/credit2009/Poster/Kenyon.pdf)
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complexity algorithms (http://cag.dat.demokritos.gr/Backpages/CUC.pptx)
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among the highest rated research papers on Scribd (http://www.scribd.com/doc/5938540/JD-Opdyke-Unified-Algorithms-Generating-Restricted-Integer-Compositions-Integer-Partitions)
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coded into other statistical languages for commercial use (links: http://cag.dat.demokritos.gr/Software.php)
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academics’ cutting edge research on combinatorial objects and their efficient enumeration (http://www.pagewizardgames.com/enumeration_presentation_umpage7.pdf and http://www.pagewizardgames.com/project_umpage7.pdf)
Opdyke, J.D., September (2009), A Powerful and Robust Nonparametric Statistic for Joint Mean-Variance Quality Control, InterStat. (preprint download, Scribe download, SSRN download)
Opdyke, J.D., December (2007),
Comparing
Sharpe Ratios: So where are the p-values?,
Journal of Asset
Management, Vol. 8, No. 5.
(preprint, SSRN.com download,
Hedge Funds Consistency Index download).
- SAS Program (email for 1-time password) - p-values from Sharpe Ratio
comparisons and Mutual Fund Rankings (.pdf
results)
- Excel Workbook (.xls- 0.64MB) p-values from Sharpe Ratio comparisons and Mutual Fund Rankings
- JSM2006 PowerPoint Presentation
SELECTED REVIEW QUOTES:
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“This is a comprehensive, authoritative, scholarly study of the topic." – tenured economics Professor with over 100 peer-reviewed articles in top journals.
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"Amazing scholarship ... magnum opus. ...excellent paper." – tenured statistics Professor with numerous seminal papers and several statistical textbooks that are bibles in the field.
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"I congratulate you ... on a paper that needed to be written." – Senior Analyst at one of the top investment rating firms with over 20 years of experience.
Opdyke, J.D., August (2006), Easily Implemented Confidence Intervals and Hypothesis Tests for Sharpe Ratios Under General Conditions, American Statistical Association Proceedings - JSM2006, Business and Economics Statistics Section.
Opdyke, J.D., (2005), A Single, Powerful, Nonparametric Statistic for Continuous-data Telecommunications ‘Parity Testing,’ Journal of Modern Applied Statistical Methods, Vol. 4, No. 2.
Opdyke, J.D., (2005), A Nonparametric Statistic for Joint Mean-Variance Quality Control, American Statistical Association Proceedings - JSM2005, Section on Quality and Productivity, copyrighted presentation.
Opdyke, J.D., October (2004), Misuse of the ‘modified’ t statistic in Regulatory Telecommunications, Telecommunications Policy, Vol. 28, No. 11, 821-866. (REVIEW: http://askdavid.com/reviews/books/telecommunications/150)
Opdyke, J.D., August (2003), Misuse of the ‘modified’ t-statistic in Regulatory Telecommunications, American Statistical Association Proceedings - JSM2003, Business and Economics Statistics Section.
Opdyke, J.D., May (2003), Fast Permutation Tests that Maximize Power Under Conventional Monte Carlo Sampling for Pairwise and Multiple Comparisons, Journal of Modern Applied Statistical Methods, Vol. 2, No. 1.
Opdyke, J.D., August (2002), Fast Two-Sample Permutation Tests, Especially for Multiple Comparisons and Even When One Sample is Large, That Efficiently Maximize Power Under Conventional Monte Carlo Sampling and Allow for Simultaneous Permutation-Style P-value Adjustments, MCP 2002 – The 3rd International Conference on Multiple Comparisons, Bethesda, Maryland. (download .pps)
WINNER –
Voted Best Paper, Statistics and Pharmacokinetics Section
Opdyke, J.D., May (2002), Fast Two-Sample Permutation Tests, Even When One Sample
is Large, That Efficiently Maximize Power Under Crude Monte Carlo Sampling, PharmaSUG 2002 -- National Conference of the Pharmaceutical SAS Users Group.
Opdyke, J.D., April (2000), authored a 100-page proposal to perform a comprehensive, multi-state telecommunications Operations Support Services (OSS) performance measurement audit of a Regional Bell Operating Company, and presented the executive summary before 35 selected members of i) the Public Service Commissions of twelve states, ii) a regulatory research institute with oversight authority, and iii) a telecommunications consulting firm with administrative oversight authority
Opdyke, J.D., authored and presented before 20 representatives of four Regional Bell Operating Companies the statistical foundations, application, and regulatory remedy (fine) implications of utilizing permutation tests in telecommunications OSS performance measurement “parity testing.”
Opdyke, J.D., with Raymond S. Hartman and Deloris W. Wright, July (1996), The Use of Regression Techniques in Transfer Pricing Analysis, International Bureau of Fiscal Documentation – Tax Treatment of Transfer Pricing, Supplement No. 18.