What Drives Cyber Losses at U.S. Banks? Potential Statistical Markers

Seth Dunbar, Kelly Klemme, Anthony Murphy, Joseph I. Suek and Michael Tindall

No 2520, Working Papers from Federal Reserve Bank of Dallas

Abstract: Bank supervisors and regulators are keen to understand and mitigate bank cyber risks. We model average annual loss (AAL) rates from “attritional” cyber-attacks and other cyber events using new, individual bank level data from the CyberCube “analytics platform” combined with standard bank performance measures. We estimate a variety of regression models to robustly identify the systematic drivers of these loss rates. We find that cyber risk AAL loss rates are significantly U-shaped in bank size, contrary to the view these risks are declining in bank size. Bank cyber risk contains a large idiosyncratic component, so apart from bank size, the explanatory power of standard bank performance measures is limited. Controlling for bank size, more profitable and efficient banks have lower cyber related loss rates.

Keywords: banks; cyber losses; econometric models (search for similar items in EconPapers)
JEL-codes: C21 C54 G21 (search for similar items in EconPapers)
Pages: 19
Date: 2025-05-15
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DOI: 10.24149/wp2520

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