Ricky Rambharat

Office of the Comptroller of the Currency

Lead Expert (Statistics)

400 7th Street SW

Washington, DC 20219

United States

http://sites.google.com/view/drrambharat/

SCHOLARLY PAPERS

5

DOWNLOADS

740

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

A Statistical Diagnosis of Customer Risk-Ratings in Anti-Money Laundering Surveillance

Statistics and Public Policy, 2(1), 12-24 (2015)
Number of pages: 36 Posted: 09 Oct 2014 Last Revised: 06 Jan 2016
Ricky Rambharat and Andrew John Tschirhart
Office of the Comptroller of the Currency and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 433 (113,046)

Abstract:

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Ordinal panel data, Investigation event, Predictive inference, Log-linear modeling, Financial crime policy

2.

Statistical Intelligence Units

CHANCE, 26(1), 16-21 (2013).
Number of pages: 13 Posted: 23 Jul 2013
Ricky Rambharat
Office of the Comptroller of the Currency
Downloads 113 (401,000)

Abstract:

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Anti-money laundering, Suspicious, Outliers, Validation, Statistical policy

3.

American Option Valuation with Particle Filters

American Option Valuation with Particle Filters, in R. Carmona, P. Del Moral, P. Hu, and N. Oudjane (eds), Numerical Methods in Finance, Springer-Verlag, Heidelberg, Series: Proceedings in Mathematics (2012).
Number of pages: 33 Posted: 23 Jul 2013
Ricky Rambharat
Office of the Comptroller of the Currency
Downloads 87 (478,045)

Abstract:

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Particle filter, Monte Carlo, American options, Optimal stopping, Latent, Volatility, Risk premium, Posterior inference, Optimization

4.

Sequential Monte Carlo Pricing of American-Style Options under Stochastic Volatility Models

The Annals of Applied Statistics, 4(1), 222-265 (2010)
Number of pages: 43 Posted: 25 Jul 2013
Ricky Rambharat and A. E. Brockwell
Office of the Comptroller of the Currency and Carnegie Mellon University - Department of Statistics
Downloads 68 (550,806)
Citation 1

Abstract:

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Arbitrage, Risk-neutral, Dynamic programming, Optimal stopping, Decision, Latent volatility, Volatility risk premium; Grid; Sequential, Monte Carlo, MCMC

5.

A Threshold Autoregressive Model for Wholesale Electricity Prices

Journal of the Royal Statistical Society (Series C, Applied Statistics), 54(3), 1-13 (2005)
Number of pages: 15 Posted: 25 Jul 2013
Ricky Rambharat, A. E. Brockwell and Duane J. Seppi
Office of the Comptroller of the Currency, Carnegie Mellon University - Department of Statistics and Carnegie Mellon University - David A. Tepper School of Business
Downloads 39 (705,008)

Abstract:

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Threshold autoregressive model, Eelectricity prices, Spikes, Markov chain Monte Carlo