In her time working in finance, she said she was asked to book escorts for her bosses. It was from here that she decided to set up her own agency.
"I was working at my last hedge fund job when I began toying with the idea of opening an agency as a means of making additional income to help support my mother and her medical expenses,” she wrote in a blog post for XOJane in 2014.
She set up and ran an escort agency for five years.
In 2008, Davis was arrested and accused of running a prostitute ring. She was sent to Rikers prison.
She claimed to have provided escorts to Eliot Spitzer, a former governor of New York. Spitzer denied he had contact with Davis, and her name didn't come up in the investigation into his conduct.
He resigned as governor that year after admitting that he had patronized a prostitution ring.
She pleaded guilty to one count of prostitution.
Sources: The New York Times, XO Jane, WNYC, Manhattan Madam
In 2013, she was back again running for city comptroller against Spitzer. But she had to withdraw from the race after being arrested and charged for selling ecstasy, Adderall, and Xabazm in August that year.
The prosecutors claimed that between 2009 and 2011, she bought these drugs from an FBI witness. She pleaded guilty in March 2014.
This led to a two-year federal prison sentence; she was released from federal custody in May 2016.