The Anatomy of Cyber Risk / Rustam Jamilov, Hélène Rey, Ahmed Tahoun.

Format:

Book

Author/Creator:

Jamilov, Rustam.

Contributor:

National Bureau of Economic Research.

Rey, Hélène.

Tahoun, Ahmed.

Series:

Working Paper Series (National Bureau of Economic Research) no. w28906.

NBER working paper series no. w28906

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2021.

Summary:

This paper uses computational linguistics to introduce a novel measure of firm-level cyber-risk exposure based on quarterly earnings conference calls of listed firms. Our data span 13,000 firms from 85 countries over 2002-2021. We show cyber-risk exposure predicts cyber-attacks, affects stock returns and profits, and is priced in the equity option market. Cyber-risks spill over across firms and pass through from firm to sectoral level. The geography of cyber-risk is well approximated by a gravity model in which financial proximity is key. Back-of-the-envelope calculations suggest that the global cost of cyber-risk is over $200 billion per year.

Notes:

Print version record

June 2021.