In the short story The Disappearance of Mr Davenheim, Billy Kellett is a thief. The previous year he served a three months sentence for pick-pocketing. He was arrested after trying to pawn a ring belonging to Mr Davenheim. Kellett claimed to have seen Mr Lowen throwing the ring away.
Billy Kellett is Mr Davenheim in disguise as he is trying to set up a new life for himself, since he knows the bank is going to collapse.