I'll pass. There are other games for that sort of thing and I'm not interested in them so adding that sort of stuff to Skyrim wouldn't be of any value to me. There's a reason the Jarls you see in the game never leave their palaces, it's because they've got cities to run and that means mail to read and letters to write and laws to enact and papers to shuffle

I don't want to stimulate economies and administer governments and make policy. I play games to have fun and those things just sound like work to me.
Also, where are you going to get your own hold? There are only nine in Skyrim and they already have rulers drawn from the local Nord clans whose bloodlines give them a legitimate claim to those positiions.