Heterogeneity in cyber loss severity and its impact on cyber risk measurement
نویسندگان
چکیده
Abstract We use the world’s largest publicly available dataset of operational risk to model cyber losses and show that Tweedie best fits loss severity in financial industry. Three key determinants are firm size, contagion legal liability. also measure size based on estimation results a large degree heterogeneity across firms. The particularly relevant with respect recent discussion simplifying capital requirements reiterate importance considering individual characteristics when modelling losses.
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ژورنال
عنوان ژورنال: Risk Management
سال: 2022
ISSN: ['0035-5593']
DOI: https://doi.org/10.1057/s41283-022-00095-w