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Mr. Holt's joined Kamakura Corporation in March 2001 as Managing Director. His primary emphasis is on developing and leading Kamakura’s risk consulting and financial advisory services business to enhance and broaden the company’s software product lines.
Since joining Kamakura, Mr. Holt has been involved with a wide range of development and advisory efforts related to the firm's credit, market, and asset/liability management solutions. He an expert in credit risk modeling and solutions and has advised on issues including modeling and analysis of obligor default probabilities, loss given default and recovery processes, portfolio credit exposures, credit facilities and loan commitments, and credit derivatives. He has also consulted on the application of credit risk models to portfolio valuation, cash flow and net income analysis, which involved issues such as credit-adjusted valuation, potential future exposure, credit risk hedging, credit-adjusted risk measures, and economic capital. On a more strategic level, he has advised clients on asset-specific risk transfer pricing, proactive portfolio management and securitization related issues.
Mr. Holt has also led many of Kamakura's projects related to the Basel II requirements for bank capital adequacy. He has expertise in the requirements of the Standardised, IRB Foundation, and IRB Advanced approaches for credit risk capital, including default probability, loss given default, exposure at default, collateralized transactions and other credit risk mitigants, and retail, equity, and securitization exposures. His expertise also extends to the market risk capital requirements, the interest rate risk in the banking book requirements, and the operational risk requirements of Basel II.
In the financial accounting area, Mr. Holt has led Kamakura's efforts to provide valuation and hedging solutions for the financial instrument recognition and measurement requirements of current accounting standards, such as IAS 39 and FAS 133. These solutions address the fair valuation and hedge accounting issues presented by these standards, including modeling designated hedging relationships, prospective and retrospective effectiveness testing for hedging relationships, and derecognition, impairment, and portfolio instrument decomposition issues.
Mr. Holt also has expertise in other areas of quantitative finance and risk management, such as methodologies for financial risk measurement for economic value and earnings risks, stochastic process models for risk factors, and the technology architecture supporting risk solutions. His interests also include modeling of pension plan and life and general insurance liabilities.
Prior to joining Kamakura Corporation, Mr. Holt was Managing Director of the Quantitative Finance practice in the Risk Consulting group at Arthur Andersen LLP, where he led and supervised management consulting engagements with banks and other financial and energy market participants, both in the United States and internationally. These engagements emphasized financial engineering skills and experience, such as structuring, pricing and valuing complex derivative instruments and securities, measuring and hedging financial risk, counterparty and portfolio credit risk management, and asset securitization and credit enhancement. The engagements applied these capabilities to a broad spectrum of client needs, including developing and reviewing business and financial strategies and processes, evaluating and improving methodologies and models, and advising and supporting transactional opportunities. Clients in these engagements included Bank One, Deutsche Morgan Grenfell, HomeSide Mortgage Company, Federal Home Loan Bank, Cinergy Corporation, Commonwealth Edison, Duke Energy Corporation, FirstEnergy Corporation, Nacional Financiera in Mexico and Far East Bank in the Philippines.
Mr. Holt's background includes establishing and managing the mortgage derivatives structuring and trading business at Nomura Securities International. In his capacity as Head of Mortgage Finance, he marketed the firm's capabilities to major participants in the mortgage derivatives market, including Fannie Mae, Freddie Mac, Citicorp, GE Capital and Prudential Financial. During his tenure at Nomura, he also analyzed and structured mortgage derivatives deals and priced and closed more than $10 billion of public mortgage securities underwritings. He also was responsible for development of the firm's mortgage derivatives analytics and for continuous monitoring of yield curve, volatility and credit arbitrage opportunities in the mortgage derivatives markets. While at Nomura, he also established two mortgage securitization conduits, including filing a shelf registration with the U.S. SEC and obtaining an SEC investment company exemption.
At First Interstate Bank Ltd., Mr. Holt led the securitization and structured sale of $1.7 billion of residential mortgage loan held in an affiliate's $18 billion mortgage portfolio. He also was involved in product development for mortgage derivatives and structured collateralized commercial paper and with the sale of commercial loan participations. At Chase Manhattan Bank, Mr. Holt was responsible for the development of corporate management information systems and led a global program to acquire and analyze information on the bank's worldwide portfolio of credit-risky positions.
Mr. Holt holds a B.S. in Management Science and an M.S. in Electrical Engineering and Computer Science from the Massachusetts Institute of Technology. He also earned an M.B.A. from the Sloan School of Management at the Massachusetts Institute of Technology. Additionally, he studied financial economics at the Stern School of Business of New York University, where he qualified for the Ph.D. and received a M.Phil. in Financial Economics. He is also a graduate of the Global Credit Training Program at Chase Manhattan Bank. |
