Brooklyn Quant Experience Lecture Series: Maggie Copeland

The Department of Finance and Risk Engineering welcomes Maggie Copeland to the BQE Lecture Series. 

Title

A Tale of Two Tails: Size, Volatility and Uncertainty

Abstract

We derive the firm’s equity valuation mainly by focusing on the two tails that involve optionality. The equity shareholders possess two call options on the firm’s equity value. An upside potential benefit call and a downside risk protection call represent these two tails of the firm. An optimal capital structure could be derived from these two classes of call options. Navigate the SIZE and Volatility portfolios show resulting significant effects on the tails. Furthermore, we show that they are highly significantly correlated with uncertainty indices such as EPU and/or VIX.  

Bio

Maggie is an adjunct professor at NYU Tandon, Department of Finance and Risk Engineering. During her long career, she has been a trader and hedge fund manager for long short, market neutral and long only funds.  She was a Hedge Fund Portfolio Manager and Trader at Paloma Securities and Salomon Smith Barney Group, a Vice President of proprietary trading at NatWest Securities, a Proprietary Trader at Bear Stearns, a Senior Risk Manager at Fidelity Investments, and a Partner and Portfolio Manager at Roll and Ross Asset Management.

Maggie was the first woman to receive a Ph.D. in Finance, with a minor in Math, from the University of California Los Angeles (UCLA). She has publications in Financial Analysts Journal, Financial Management, and The Journal of Portfolio Management. Her professional public speeches include the D.E Shaw Hedge Fund conference, the Dow Jones Global Conference, and the International Risk Management Conference.