Research
research & more
My research work primarily explores the use of computational methods to develop algorithms and tools that are applied to problems found in financial modeling & analysis (e.g., equities and commodities modeling), Computational Finance (viz., pricing methodologies for exotic derivative instruments), as well as some aspects of compliance in banking supervision -- e.g., anti-money laundering surveillance. I have also collaborated on some relevant policy-related projects resulting in supervisory papers that I list below.
Refereed Publications:
Rambharat, B.R. (2023). Statistical decisioning tools for model risk management, in D. Lynch, I. Hasan, and A. Siddique (eds), Validation of Risk Management Models for Financial Institutions: Theory and Practice, Cambridge University Press, Cambridge. (Link)
Rambharat, B.R. and A.J. Tschirhart (2015). A statistical diagnosis of customer risk ratings in anti-money laundering surveillance, Statistics and Public Policy, 2(1), 12-24. (Link)
Rambharat, B.R. (2013). Statistical intelligence units, CHANCE, 26(1), 16-21. (Link)
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, Springer-Verlag, Heidelberg. (Link)
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, 4(1), 222-265. (Link)
Rambharat, B.R., A.E. Brockwell and D.J. Seppi (2005). A threshold autoregressive model for wholesale electricity prices, J. of the Royal Statistical Society (Series C, Appl. Statistics), 54(2), 287-299. (Link)
Preprints / Working Papers:
Links to preprints of my papers can be found on my SSRN page.
Supervisory Papers / Projects (with colleagues):
Literature review on financial technology and competition for banking services, Basel Committee on Banking Supervision, 2024.
Evaluation of the impact and efficacy of Basel III reforms, Basel Committee on Banking Supervision, 2022 (Link).
Sampling Methodologies -- Comptroller's Handbook, Office of the Comptroller of the Currency, 2020 (Link).
Guidelines for computing capital for incremental risk in the trading book, Basel Committee on Banking Supervision, 2009 (Link).
Revisions to the Basel II market risk framework, Basel Committee on Banking Supervision, 2009 (Link).
Professional Service:
Panelist, National Science Foundation (2023)
Discussant / Chair, Joint Statistical Meetings (2023), Toronto, Canada:
Business & Economic Statistics Section (Blockchain session)
Section on Text Analysis
Reviewer, Statistics & Data Science Symposium (2023)
Referee, various Statistics journals
Select Presentations:
"Statistical Insights from Consumer Complaints." Joint Statistical Meetings, Washington, DC, Aug. 2022 (with S.A. Karolyi, Conference link).
"Early Warning Signals from Early-Exercise Premia." Symposium on Data Science and Statistics, Pittsburgh, PA, Jun. 2022 (with co-authors, research work in-progress, Symposium link).
"Sequential Monte Carlo for Early-Exercise Option Pricing." Oxford-Man Institute, Oxford, UK, Nov. 2013 (Seminar link).
"A Statistical Diagnosis of Customer Risk Ratings in Anti-Money Laundering Surveillance." Joint Statistical Meetings, Montréal, Canada, Aug. 2013 (with A.J. Tschirhart, Conference link).