Cyber bonds and their pricing models

Oleg Kolesnikov, Alexander Markov, Daulet Smagulov and Sergejs Solovjovs

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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.

Date: 2019-11
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.06698

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