Modeling multivariate cybersecurity risks

Chen Peng, Maochao Xu, Shouhuai Xu and Taizhong Hu

Journal of Applied Statistics, 2018, vol. 45, issue 15, 2718-2740

Abstract: Modeling cybersecurity risks is an important, yet challenging, problem. In this paper, we initiate the study of modeling multivariate cybersecurity risks. We develop the first statistical approach, which is centered at a Copula-GARCH model that uses vine copulas to model the multivariate dependence exhibited by real-world cyber attack data. We find that ignoring the due multivariate dependence causes a severe underestimation of cybersecurity risks. Both simulation and empirical studies show that the proposed approach leads to accurate predictions of multivariate cybersecurity risks.

Date: 2018
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Citations: View citations in EconPapers (9)

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DOI: 10.1080/02664763.2018.1436701

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