Heterogeneity in cyber loss severity and its impact on cyber risk measurement-Reference-Cited by-同舟云学术

Heterogeneity in cyber loss severity and its impact on cyber risk measurement

Published:2022-06-06 Issue:4 Volume:24 Page:273-297
ISSN:1460-3799
Container-title:Risk Management
language:en
Short-container-title:Risk Manag

Author:

Eling Martin^ORCID,Jung Kwangmin

Abstract

AbstractWe use the world’s largest publicly available dataset of operational risk to model cyber losses and show that the Tweedie model best fits the cyber loss severity in the financial industry. Three key determinants of loss severity are firm size, contagion risk and legal liability. We also measure the size of risk based on the estimation results and show a large degree of heterogeneity across financial firms. The results are particularly relevant with respect to the recent discussion on simplifying operational risk capital requirements and reiterate the importance of considering individual firm characteristics when modelling operational losses.

Funder

University of St.Gallen

Publisher

Springer Science and Business Media LLC

Subject

Strategy and Management,Economics and Econometrics,Finance,Business and International Management

Link

https://link.springer.com/content/pdf/10.1057/s41283-022-00095-w.pdf

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