Henry I. Lee

Mr. Henry I.
Lee is a Principal & Chief Risk Officer at MKP Capital Management LLC.
He is a member of the Investment Committee, which has ultimate oversight over all of the firm’s investment activities.
Before taking on the role of Chief Risk Officer in late 2006, Mr. Lee served as a Portfolio Manager focusing on both prepayment and credit sensitive assets in the firm’s hedge funds.
Prior to joining MKP in 1997, Mr. Lee worked for six years at Salomon Brothers Inc. in the Mortgage Securities Department.
From 1993 to 1996, he was a mortgage derivatives strategist whose responsibilities included analyzing and valuing securities and advising the sales force and clients on trade ideas.
Prior to this role, Mr. Lee spent two and a half years as a Vice President responsible for the development of mortgage derivative risk management systems and proprietary trading and pricing models.
Prior to Salomon Brothers, Mr. Lee worked as a senior programming analyst responsible for developing CMO and mortgage analytics at Merrill Lynch from 1988 to 1991.
Mr. Lee received a B.S.
in Finance from the Massachusetts Institute of Technology (1988).