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Ricky Rambharat

Lead Statistician
Compliance Risk Analysis Division

Ricky Rambharat is a lead statistician in the Compliance Risk Analysis Division within Economics at the Office of the Comptroller of the Currency.

Dr. Rambharat received his doctoral training in Statistics from Carnegie Mellon University where he studied the use of Monte Carlo and sequential Monte Carlo techniques to address problems in computational finance. He has conducted research about the use of advanced simulation methods applied to the valuation of exotic derivatives. Recently, he has also explored the use of statistical methods in the context of anti-money laundering / fraud surveillance.

  1. Rambharat, B.R. (2013), "Statistical Intelligence Units," CHANCE, Vol. 26 (1), pp. 16-21.
  2. Rambharat, B.R. (2012), "American Option Valuation with Particle Filters, in R," Carmona, P. Del Moral, P. Hu, and N. Oudjane (eds), Numerical Methods in Finance, Spring-Verlag, Heidelberg, Series: Proceedings in Mathematics.
  3. Rambharat, B.R. and A.E. Brockwell (2010), "Sequential Monte Carlo Pricing of American-Style Options Under Stochastic Volatility Models," The Annals of Applied Statistics, Vol. 4 (1), pp. 222-265.
  4. Rambharat, B.R., A.E. Brockwell, and D.J. Seppi (2005), "A Threshold Autoregressive Model for Wholesale Electricity Prices," Journal of the Royal Statistical Society (Series C, Applied Statistics), Vol. 54 (3), pp. 1-13.
  1. Rambharat, B.R. (2013). "A Bayesian Calculator for Estimating the Incidence of Errors in Large Populations," Working Paper, Office of the Comptroller of the Currency (In-progress).
  2. Rambharat, B.R. and A.J. Tschirhart (2013), "A Statistical Diagnosis of Customer Risk-Ratings in Anti-Money Laundering Surveillance," Working Paper, Office of the Comptroller of the Currency (Submitted).