How to Forecast the Weight of Cyber-attacks Events on Stock Returns: Models, Correlations and VaR Backtest

How to Forecast the Weight of Cyber-attacks Events on Stock Returns: Models, Correlations and VaR Backtest

This paper aims to examine the effect of cyber-risk on the economy , in particular on the returns of companies experiencing breaches of data. In recent years , the issue has become very important in the literature for the wide reliance of business on the cyber world , especially nowadays due to the pandemic situation of COVID-19 for the difficult need for IT solutions. The research focuses on a case study analysing cyber-attacks on stock prices suffered by selected firms. In order to analyse their association, cyber-risk phenomena are processed according to a portfolio of targeted properties. Risk thresholds, such as VaR, will be assessed and backtested using various methods to monitor which can best capture this form of riskiness..

Author(s) Details

Ilaria Colivicchi
Department of Economics and Management, University of Florence, Florence, Italy.

Riccardo Vignaroli
European Central Bank, Frankfurt, Germany.

View Book :- https://bp.bookpi.org/index.php/bpi/catalog/book/315

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