Stephen Szaura
Title:
PhD Student, Finance
Degree(s):
- Desautels Faculty of Management, McGill University 2015-2021
PhD in Management, Specialization in Finance - Ohio State University 2019-2020
Visiting PhD student - Notre Dame University 2019
Visiting PhD student - University of Toronto 2013-2015
PhD in Statistics/Mathematical Finance – transferred and completed MSc. program - University of Waterloo 2011-2013
Masters of Quantitative Finance
Thesis Title: Structural Credit Risk Modeling of Closed End Bond Funds - University of Manitoba 2004-2008
Honours Bachelor of Science Degree (First Class Honours) - Joint Actuarial Mathematics and Statistics
Area(s):
Finance
Link(s):
Curriculum vitae:
Group:
PhD Student
Selected publications:
P.P.Boyle and S. Szaura. Leverage and Closed End Bond Funds. Journal of Fixed Income. v24(4). pp. 47-59. 2015.
Awards, honours, and fellowships:
Awards
- McGill Travel Grant ($2,900), March 2020
- McGill Desautels PhD Student Teaching Award, October 2019
- TMX Canadian Derivatives Scholarship ($15,000), July 2019
- McGill Travel Grant ($2,800), December 2018
- 2019 AFA Travel Grant Award, September 2018
- 3rd Place in Graduate Management Consulting Association (GMCA) 2016 Case Competition, March 2016
- 2nd Place in Winton Capital - Bellairs Stock Portfolio Performance Competition, January 2016
- National Bank Financial Group Fellow ($5,000), August 2015, 2016
- McGill Desautels Faculty of Management PhD student stipend ($20,000 per year), August 2015, 2016, 2017, 2018
- Ontario Graduate Scholarship ($15,000), July 2014
- University of Waterloo President’s Graduate Scholarship ($10,000) - declined, March 2013
- National Science and Engineering Research Council (NSERC) PGS M ($17,500), March 2013
- University of Waterloo MQF Research Assistantship ($2,000), March 2013
- University of Waterloo President’s Graduate Scholarship ($10,000), September 2012
- Ontario Graduate Scholarship ($15,000), September 2012
- Featured work experience on Cultural Vistas website for 2012 Train USA Visa, September 2012
Actuarial Achievements
- Enrolled in Enterprise Risk Management (ERM) FSA Module, January 8, 2016
- Completed Financial Modelling FSA Module, January 30, 2015
- Society of Actuaries Hickman Doctoral Fellowship and Renewals ($20,000), April 2013, 2014, 2015, 2016, 2017
- Associate of the Society of Actuaries (ASA) designation, July 2009
- Colin E. Jack Award for the highest mark on Society of Actuaries exam C/4 for Canadians, June 2009
Service
- Volunteer for McGill Management Doctoral Program Recruitment – Finance Area Information Sessions, Oct 2016
- Volunteer for McGill Masters in Management of Finance (McGill MMF) Information Sessions, Oct 2015
- Paper Discussant for Northern Finance Association (NFA) Conference – “Impact of Sponsor Ownership on Fixed-Income Fund Performance”, September 12-14, 2014, Ottawa, Ontario
- Volunteer Fire Warden for the Actuarial Department in Sun Life Group Retirement Services, Sept 2010 - July 2011
- Volunteer for Team Sun Life Financial in Motionball Marathon of Sports, May 2011
- Sun Life Financial P4 Award for demonstrating Partnership and Performance, March 2011
- Sun Life Financial P4 Award for demonstrating Passion, December 2010
- Society of Actuaries volunteer examination invigilator, May 2009
Conferences:
- Bellairs Workshop and Tutorial of High-Dimensional Learning for Financial Data – “A Momentum Stock Trading Strategy using Economic Sentiment Data for S&P 500 Stock Predictions” - Conference Trading Strategy Presentation, January 15-22, 2016, Bellairs Research Institute, Barbados
- Montreal Institute of Structure Finance and Derivatives IFSID Conference - Attendee, September 25-26, 2015, Montreal, Quebec
- University of Waterloo Masters in Quantitative Finance Alumni Conference and Annual Dinner*, October 4, 2014, Waterloo, Ontario
- Northern Finance Association (NFA) Conference – “Impact of Sponsor Ownership on Fixed-Income Fund Performance” - Paper Discussant, September 12-14, 2014, Ottawa, Ontario
*Presentation by co-author
Current research:
Working Papers:
1. Do Asset Pricing Factors Really Price Corporate Bond Returns? v1(1). pp. 1-64. 2020.
2. Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions? v1(1). pp 1 - 49. 2019. with Martijn Cremers, Ruslan Goyenko, and Paul. Schultz.
Recipient of 2018 CDI Research Grant ($45,000) and SSHRC Insight Grant (Ruslan)
3. Accounting Transparency and the Implied Volatility Smile. v1(1). pp. 1 – 45. 2020. with Hitesh Doshi, Jan Ericsson, and Fan Yu.
Work in Progress:
4. Option Idiosyncratic Jumps and Expected Option Returns 2018. with Yoontae Jeon
Pre-PhD-Publications
5. P.P.Boyle and S. Szaura. Leverage and Closed End Bond Funds. Journal of Fixed Income. v24(4). pp. 47-59. 2015.
Presentations
(Paper in ( ), * indicates presentation by coauthor)
- CUHK Derivatives and Quant Investing Conference (2*), October 14, 2019, Hong Kong
- SUNY Buffalo Finance Seminar (2*), October 4, 2019, Buffalo, New York
- Notre Dame University Finance Brownbag Seminar (2*), September 27, 2019, South Bend, Indiana
- McGill Finance Seminar (2*), April 5, 2018, Montreal, Quebec
- Bank of Canada – Laurier Market Structure Conference PhD student poster session (4), May 7, 2018, Ottawa, Ontario
- Joint HEC/McGill Finance PhD student workshop (4), April 20, 2017, McGill University, Montreal, Quebec
- University of Waterloo Masters in Quantitative Finance Alumni Conference and Annual Dinner (5), October 4, 2014, Waterloo, Ontario
- Oxford University – Man Institute of Quantitative Finance (5*), October 18, 2013, Oxfordshire, England
Research interests
Empirical Asset Pricing, Derivatives, Credit Risk, Fixed Income
