
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. (2020),
Invited Speaker,
QuantMinds
International 2020, "Full
Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of
the Correlation Matrix
(Even When Eigenvalues are Empirically Challenging)," Hamburg, Germany,
November 2-6, 2020.
Opdyke, J.D. (2020),
Invited Speaker,
QuantMinds/RiskMinds Americas 2020,
Advances in option pricing, trading and modelling, "Full
Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of
the Correlation Matrix (Even When Eigenvalues are Empirically Challenging),"
Boston, MA,
September 22-23, 2020.
Opdyke, J.D. (2020), "Full
Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of
the Correlation Matrix (Even When Eigenvalues are Empirically Challenging),"
forthcoming, 2020. <Excel
Workbook example of Targeted Stress>
Opdyke, J.D. (2019),
Invited Speaker,
RiskMinds
International 2019,
Invest Summit, "Getting Extreme VaR Right: Eliminating Convexity and Approximation
Biases from Heavy-tailed, Moderately-sized Samples," Amsterdam,
Netherlands,
December 2-6, 2019.
Opdyke, J.D. (2019),
Invited Speaker,
QuantMinds /
RiskMinds Americas 2019,
Quant Innovation: Machine Learning, HFT, AI & Data, "Getting Extreme VaR Right: Eliminating Convexity and Approximation
Biases from Heavy-tailed, Moderately-sized Samples," Boston, MA,
September 9-11, 2019.
Opdyke, J.D. (2020), "Getting Extreme VaR Right: Eliminating Convexity and Approximation
Biases from Heavy-tailed, Moderately-sized Samples," forthcoming, 2020.
Opdyke, J.D. (2018),
Predictive Risk Analytics-Data-Driven Risk Measurement and Mitigation for
Competitive Market Advantage
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.
WINNER - 2012 ORR Innovation Awards, Voted "Paper of the Year" by OPERATIONAL
RISK & REGULATION staff in consultation with industry experts.
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:
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:
-
“This is a comprehensive, authoritative, scholarly
study of the topic." – tenured economics Professor with over 100
peer-reviewed articles in top journals.
-
"Amazing scholarship ... magnum opus. ...excellent paper." – tenured
statistics Professor with numerous seminal papers and several statistical
textbooks that are bibles in the field.
-
"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.
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