TITLE:
Forecasting the Impact of Information Security Breaches on Stock Market Returns and VaR Backtest
AUTHORS:
Ilaria Colivicchi, Riccardo Vignaroli
KEYWORDS:
Cyber Risk, Return Correlation, Variance-Covariance Analysis, VaR, Backtest
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.9 No.3,
August
21,
2019
ABSTRACT: This paper wants to analyse the cyber-risk impact on economy in particular on the returns of the companies suffering information braches. The problem has become very interesting in recent years in the literature for the large dependence of the business with cyber world. The analysis focuses on event study in which the impact of cyber-attacks on stock prices of selected companies is investigated. Cyber-risk phenomenon is processed considering a portfolio of targeted assets, in order to analyse their correlation. Risk measures, such as VaR, will be evaluated and backtested using different methods to monitor which one is able to better capture this type of riskiness.