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The Anatomy of Cyber Risk

Author

Listed:
  • Rustam Jamilov
  • Hélène Rey
  • Ahmed Tahoun

Abstract

This paper uses computational linguistics to introduce a novel measure of firm-level cyber risk exposure based on the quarterly earnings calls of listed firms. Our measure covers more than 14,000 firms from over 90 countries between 2003 and 2025. The measure is validated using human auditors and a large language model. We show that the measure affects stock returns and profits, is priced in the options market, and predicts actual cyberattacks. Cyber risk spills over across firms and propagates from firm to sector level. Back-of-the-envelope estimates suggest that the global cost of cyber risk exposure amounts to hundreds of billions of dollars annually.

Suggested Citation

  • Rustam Jamilov & Hélène Rey & Ahmed Tahoun, 2021. "The Anatomy of Cyber Risk," NBER Working Papers 28906, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:28906
    Note: AP IFM
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    Cited by:

    1. Crosignani, Matteo & Macchiavelli, Marco & Silva, André F., 2023. "Pirates without borders: The propagation of cyberattacks through firms’ supply chains," Journal of Financial Economics, Elsevier, vol. 147(2), pages 432-448.
    2. Küsters Anselm & Andritzky Jochen, 2024. "Welche Rolle spielt das Thema Zukunft im Bundestag?," Wirtschaftsdienst, Sciendo, vol. 104(4), pages 252-257, April.
    3. Trinh, Vu Quang & Nguyen, Nga & Le, Phuong & Nguyen, Thao Ngoc, 2025. "Unraveling the ‘green-default paradox’: Assessing the influence of gender-diverse boards and socially responsible ratings," International Review of Financial Analysis, Elsevier, vol. 102(C).
    4. Zacharias Sautner & Laurence Van Lent & Grigory Vilkov & Ruishen Zhang, 2023. "Firm‐Level Climate Change Exposure," Journal of Finance, American Finance Association, vol. 78(3), pages 1449-1498, June.
    5. Loic Mar'echal & Nathan Monnet, 2024. "Disentangling the sources of cyber risk premia," Papers 2409.08728, arXiv.org.
    6. Chang, Jin-Wook & Jayachandran, Kartik & Ramírez, Carlos A. & Tintera, Ali, 2024. "On the anatomy of cyberattacks," Economics Letters, Elsevier, vol. 238(C).
    7. Boungou, Whelsy, 2023. "Cyber-attacks and banking intermediation," Economics Letters, Elsevier, vol. 233(C).
    8. Daniel Celeny & Loic Mar'echal, 2024. "Cyber risk and the cross-section of stock returns," Papers 2402.04775, arXiv.org, revised Mar 2024.
    9. Anand, Kartik & Duley, Chanelle & Gai, Prasanna, 2022. "Cybersecurity and financial stability," Discussion Papers 08/2022, Deutsche Bundesbank.
    10. Ramírez, Carlos A., 2025. "On equilibrium cyber risk," Economics Letters, Elsevier, vol. 251(C).

    More about this item

    JEL classification:

    • F3 - International Economics - - International Finance
    • G0 - Financial Economics - - General

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