Bhojnarine Rambharat

Office of the Comptroller of the Currency

Lead Statistician

400 7th Street SW

Mail-stop 6E-2

Washington, DC 20219

United States

http://www.occ.gov/topics/economics/economics-staff/bios/ricky-rambharat-bio.html

SCHOLARLY PAPERS

5

DOWNLOADS

557

CITATIONS

2

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
Bhojnarine 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 392 (73,196)

Abstract:

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

2.

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
Bhojnarine Rambharat
Office of the Comptroller of the Currency
Downloads 57 (359,608)

Abstract:

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

3.

Statistical Intelligence Units

CHANCE, 26(1), 16-21 (2013).
Number of pages: 13 Posted: 23 Jul 2013
Bhojnarine Rambharat
Office of the Comptroller of the Currency
Downloads 49 (384,985)

Abstract:

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

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
Bhojnarine Rambharat and A. E. Brockwell
Office of the Comptroller of the Currency and Carnegie Mellon University - Department of Statistics
Downloads 41 (413,383)
Citation 6

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
Bhojnarine 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 18 (524,217)
Citation 4

Abstract:

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