On the determinants of data breaches: A cointegration analysis
- PDF / 494,247 Bytes
- 20 Pages / 439.37 x 666.142 pts Page_size
- 2 Downloads / 173 Views
On the determinants of data breaches: A cointegration analysis Domenico De Giovanni1 · Arturo Leccadito1 · Marco Pirra1 Received: 24 January 2020 / Accepted: 7 August 2020 © The Author(s) 2020
Abstract Cyber risks and particularly data breaches constitute one of the new frontiers of risk modeling for insurers across the world. We use the cointegration methodology to uncover the relation between data breaches and Bitcoin-related variables. We perform our analyses on two different datasets of data breaches. In both cases, we provide statistical evidence of a bidirectional lead–lag relation in the short run between the variables under investigation. Moreover, the existence of a cointegrating vector suggests that this relation is likely to persist in the long run. To evaluate the quantitative implications of the relations found, we complement the study with Granger causality tests, impulse response analyses and variance decompositions of the forecasting errors. Keywords Emerging risks · Cyber risk · Data breaches
1 Introduction Concerns on cybersecurity threats are growing across all sectors of the global economy, as cyber risks have increased and cyber criminals have become progressively more dangerous. In the last years, many stealthy and sophisticated cyber attacks targeted public and private sector organizations. The annual cost of cybercrime study conducted by
B
Marco Pirra [email protected] Domenico De Giovanni [email protected] Arturo Leccadito [email protected]
1
Università della Calabria, Rende (CS), Italy
123
D. De Giovanni et al.
Ponemon Institute1 confirms that, combined with the expanding threat landscape, organizations are noticing a steady rise in the number of security breaches: The average number has moved from 130 in 2017 to 145 in 2018 (+11% last year,+67% last 5 years). The impact of these cyber attacks on organizations, industries and society is relevant, as the total cost of cybercrime for each company has increased from $11.7 million in 2017 to a new high of $13.0 million in 2018 (+12% last year, +72% last 5 years). The 2018 study reports that the global average cost of a data breach is up 6.4% over the previous year to $3.86 million. The average cost for each lost or stolen record containing sensitive and confidential information has also increased by 4.8% year over year to $148. According to the Online Trust Alliance,2 the number of cyber attacks worldwide doubled in 2017 to 160,000, although endemic underreporting means that the true figure could be as high as 350,000. Despite the improvements in security countermeasures and practices, the statistics presented above highlight how cyber insurance represents an important tool for risk managers to mitigate the economic impact of cyber attacks. The demand for cyber insurance is expected to experience a huge growth, as people and companies become aware of the economic risk behind cyber attacks. However, the market for cyber insurance is undersized, mainly because insurance and reinsurance companies are still unprepared to
Data Loading...
