Select Energy

A pumped storage facility is a man made pond. Water is pumped into the pond when electricity is cheep. It is released into generators when prices are high. The profitability of the facility depends on the volatility of hourly electricity prices. When Select Energy wanted to acquire a pumped storage facility, their bankers were concerned. The New England power market was just being deregulated. Volatility was high, but might it decline as the market matured? Select Energy turned to Glyn Holton to prepare a technical study of how volatility developed in other markets that emerged during the 20th century. The banks were convinced, and Select Energy received its funding.

Accenture

Formerly known as Andersen Consulting, Accenture is a technology consulting firm with a focus on delivering business solutions. Accenture's London office was performing a lot of work for financial firms in the UK and on the continent. Their consultants needed to understand financial systems, and especially value-at-risk (VaR). Accenture brought Glyn Holton in to run a one-day training program. Downplaying technical mathematics, the program focused on providing an intuitive understanding of VaR and how it is used on trading floors. Attendees enjoyed the program so much that they invited Mr. Holton back to speak at one of their employee conferences.

Olam International

Olam International is a Singapore based commodities trading firm. They were using an internally developed value-at-risk (VaR) system to monitor market risk and economic capital. The firm was expanding and starting to trade options. They wanted to have an expert review their VaR system and recommend improvements. As an authority on VaR with prior experience in commodities markets, Glyn Holton was perfect for the job. He met with staff for four days, made specific recommendations, and helped implement a demo VaR measure. He wrote a technical memo detailing for Olam staff how to incorporate the upgrades into their system.

Office of the Comptroller of the Currency

The OCC is the US regulator of federally chartered commercial banks. Their examiners perform periodic on-site reviews of all national banks. Those who examine the largest banks need to have expertise in many aspects of financial risk management. The OCC turned to Glyn Holton to run a multi-day course for its top 35 examiners. He covered asset-liability management, value-at-risk, credit risk, and capital allocation. The OCC was so pleased with the program that they asked Mr. Holton back the next year to run a five-day course on financial mathematics. That customized course covered pre-calculus, calculus, probability, statistics, and financial applications.

Alternatech

Alternatech is the US distributor for an Israeli supercomputer manufacturer. Lacking a market presence on Wall Street, they turned to Glyn Holton to help position them for the financial services industry. Mr. Holton identified financial engineering and risk management as suitable applications for their high-speed parallel processing systems. He arranged introductions to senior IT professionals at several New York banks. He worked with Alternatech to implement a demonstration Monte Carlo value-at-risk system. At industry conferences, Alternatech conducted impressive speed tests, running the demo on both their supercomputer and a standard workstation.

New York State Electric and Gas

NYSEG is a regulated utility that is required to deliver fixed price natural gas to retail customers. Losses incurred in this business can be recovered from customers if the company demonstrates to regulators that it pursued a sound hedging program. Most natural gas is used during the Winter. NYSEG hedges this exposure during the rest of the year by storing gas or purchasing NYMEX futures. They asked Glyn Holton to help them develop a sophisticated earnings-at-risk model that would facilitate such hedging and satisfy regulators. He worked with them to implement a model that took into account volatile prices, correlations, seasonality, and uncertin demand.

State Street Bank

With rapid development in risk management techniques used by large banks, State Street's internal auditors needed to update their skills. They asked Glyn Holton to run a one-day program focusing on the most sophisticated market risk and credit risk measurement models. Mr. Holton customized the program for internal auditors, focusing on issues related to systems documentation, verification, and validation. About fifteen professionals attended. The program went so well that State Street invited Mr. Holton back to run it again for their risk management staff.