George A. Holt, Managing Director, Consulting
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. |
