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Ricky Rambharat

Lead Statistician
Compliance Risk Analysis Division

Ricky Rambharat is a Lead Statistician in the Compliance Risk Analysis Division (CRAD) within Economics at the Office of the Comptroller of the Currency (OCC).

Dr. Rambharat received his PhD in Statistics (2005) from Carnegie Mellon University where he studied the use of particle filtering techniques in order to address option valuation problems in computational finance. He has published research on how to price early-exercise (American-style) financial derivatives governed by stochastic volatility models in a partial observation setting. In addition to his current research stream in computational finance, Dr. Rambharat applies statistical methods to understand problems in anti-money laundering (AML) surveillance. He also contributes significantly to the development of statistical sampling methodologies of relevance to the OCC. Dr. Rambharat is an Accredited Professional Statistician™ of the American Statistical Association.

  1. Rambharat, B.R. and A.J. Tschirhart (2015), "A Statistical Diagnosis of Customer Risk Ratings in Anti-Money Laundering Surveillance," Statistics and Public Policy (forthcoming).
  2. Rambharat, B.R. (2013), "Statistical Intelligence Units," CHANCE, Vol. 26 (1), pp. 16-21.
  3. 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.
  4. 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.
  5. 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. (2015). "An Empirical Assessment of Model Uncertainty Risk in Option Markets," Working Paper, Office of the Comptroller of the Currency (in progress).
  2. Rambharat, B.R. (2015). "Sample Designs for Compliance Applications," Working Paper, Office of the Comptroller of the Currency (in progress).