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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 Monte Carlo and sequential Monte Carlo (particle filtering) techniques to address problems in computational finance. He has published research about the use of advanced simulation methods applied to the valuation of exotic derivatives with an emphasis on early-exercise (American-style) options. In addition to his current research stream in computational finance, Dr. Rambharat also studies how to apply statistical methods in anti-money laundering (AML) surveillance. He also contributes significantly to the development of statistical sampling methodologies of relevance to the OCC.

  1. Rambharat, B.R. and A.J. Tschirhart (2014), "A statistical diagnosis of customer risk ratings in anti-money laundering surveillance," Statistics and Public Policy (accepted for publication).
  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. (2014). "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. (2014). "An empirical assessment of the volatility risk premium in options markets," Working Paper, Office of the Comptroller of the Currency (in progress).