Related papers: Cyber risk and the cross-section of stock returns

We use a methodology based on a machine learning algorithm to quantify firms' cyber risks based on their disclosures and a dedicated cyber corpus. The model can identify paragraphs related to determined cyber-threat types and accordingly…

This paper provides the first large-scale data-driven analysis to evaluate the predictive power of different attributes for assessing risk of cyberattack data breaches. Furthermore, motivated by rapid increase in third party enabled…

We presented Bayesian portfolio selection strategy, via the $k$ factor asset pricing model. If the market is information efficient, the proposed strategy will mimic the market; otherwise, the strategy will outperform the market. The…

We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host…

In this paper we present a study on using novel data types to perform cyber risk quantification by estimating the likelihood of a data breach. We demonstrate that it is feasible to build a highly accurate cyber risk assessment model using…

Cyber attacks are growing in frequency and severity. Over the past year alone we have witnessed massive data breaches that stole personal information of millions of people and wide-scale ransomware attacks that paralyzed critical…

This paper introduces a two-pillar cyber risk management framework to address the pervasive challenges in managing cyber risk. The first pillar, cyber risk assessment, combines insurance frequency-severity models with cybersecurity cascade…

This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long-short factor portfolio weights is nonlinear…

Cyber risk refers to the risk of defacing reputation, monetary losses, or disruption of an organization or individuals, and this situation usually occurs by the unconscious use of cyber systems. The cyber risk is unhurriedly increasing day…

In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…

Cyber risks are the most common risks encountered by a modern network system. However, it is significantly difficult to assess the joint cyber risk owing to the network topology, risk propagation, and heterogeneities of components. In this…

Cybersecurity risk analysis plays an essential role in supporting organizations make effective decision about how to manage and control cybersecurity risk. Cybersecurity risk is a function of the interplay between the defender, i.e., the…

Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. Statistics of strong explanative power, called "factor" have…

On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company.…

There are two strategic and longstanding questions about cyber risk that organizations largely have been unable to answer: What is an organization's estimated risk exposure and how does its security compare with peers? Answering both…

Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…

In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyber events provided by Advisen. We seek to address two core…

Quantifying cyber risks is essential for organizations to grasp their vulnerability to threats and make informed decisions. However, current approaches still need to work on blending economic viewpoints to provide insightful analysis. To…

The cyber risk insurance market is at a nascent stage of its development, even as the magnitude of cyber losses is significant and the rate of cyber loss events is increasing. Existing cyber risk insurance products as well as academic…

Cybersecurity risk is commonly expressed through impact and likelihood, yet likelihood remains difficult to estimate because cyber incidents are underreported, heterogeneous datasets are weakly comparable, and attacker behaviour changes…