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Cyber bonds and their pricing models

Author

Listed:
  • Oleg Kolesnikov
  • Alexander Markov
  • Daulet Smagulov
  • Sergejs Solovjovs

Abstract

Motivated by the developments in cyber risk treatment in the finance industry, we propose a general framework of cyber bond, whose main purpose is to insure (compensate) losses of a cyber attack. Based on a database of publicly available cyber events, we determine cyber loss distribution parameters and use them to numerically simulate cyber bond price, yield, and other characteristics. We also consider two possible approaches to cyber bond coupon calculation.

Suggested Citation

  • Oleg Kolesnikov & Alexander Markov & Daulet Smagulov & Sergejs Solovjovs, 2019. "Cyber bonds and their pricing models," Papers 1911.06698, arXiv.org.
    • Handle: RePEc:arx:papers:1911.06698
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    References listed on IDEAS

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    5. Eling, Martin & Loperfido, Nicola, 2017. "Data breaches: Goodness of fit, pricing, and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 126-136.
    6. [WEF] World Economic Forum, 2016. "The Global Risks Report 2016: 11th Edition," Working Papers id:10737, eSocialSciences.
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