first known model risk management framework for Cyber insurance modeling; Develops first known analysis of significant and … extreme model risks, tail risks, and, systemic risk; Develops multi-method empirical study of VaR and Bayesian inference for … containing model risks; Analyzes Markov Chain Monte Carlo for enabling Bayesian inference to minimize model risk; Develops Cyber …

In a world that is increasingly connected on-line, cyber risks become critical. Cyber risk management is very difficult … data may be collected in terms of ordered severity levels. However, to date, there are no risk models for ordinal cyber …

This paper examines how cybersecurity risk in crypto securities affects asset returns. Hackers steal cryptocurrencies … by exploiting bugs in the code. We develop a novel measure of ex-ante cybersecurity risk by counting bug reports from … GitHub, which houses the source code that produces crypto assets. A high cybersecurity risk predicts a lower return: a one …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

This paper studies how the stock market perceives and prices cyber risk. To estimate the ex-ante likelihood that a firm … characteristics along with an estimate of a firm's self-perceived level of cyber risk gauged from its 10K. We find this measure of a …, institutional investors tend to sell stocks with high cyber risk and buy those with low cyber risk; this tendency is stronger during …

In 2018, Congress tasked the U.S. Coast Guard with developing a Risk Assessment Model for Maritime Cybersecurity. The …. This paper collects relevant background information on the nature and extent of cybersecurity risk to vessels and port … facilities and applicable international and national rules before surveying applicable risk management frameworks and rules …

This Long Finance research project sought to explore how cyber-catastrophe reinsurance might help mitigate cyber-risk …, the report explores the nature of cyber-risk and the role of cyber insurance and reinsurance as a risk mitigation tool … already promoted risk reduction and mitigation, as well as having accrued some financial reserves.Long Finance engaged key …