The Anatomy of Cyber Risk

Jamilov, Rustam; Rey, Hélène; Tahoun, Ahmed

doi:10.3386/w28906

Cited by 47 publications

(21 citation statements)

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“…Finally, we add to the growing literature in macroeconomics and related fields using text as data (Gentzkow et al, 2019). Our work highlights the versatility of text-based measurement of firm-time specific variables, adding to recent studies that use transcripts of earnings conference calls and corporate filings of US firms to measure firm-level political and non-political risk (Hassan et al, 2019), overall risk (Handley and Li, 2018), climate change exposure (Sautner et al, 2020), cyber risk (Jamilov et al, 2021), and trade policy risk (Caldara et al, 2019;Kost, 2019). Others have used newspapers and FOMC minutes to measure economic policy uncertainty (Baker et al, 2016), the state of the economy (Bybee et al, 2019), and analyze news about monetary policy (Hansen et al, 2017).…”

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confidence: 85%

The Global Impact of Brexit Uncertainty

Hassan

Lent

Hollander

et al. 2019

INET Working Paper Series

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Using tools from computational linguistics, we construct new measures of the impact of Brexit on listed firms in the United States and around the world: the share of discussions in quarterly earnings conference calls on costs, benefits, and risks associated with the UK’s intention to leave the EU. Using this approach, we identify which firms expect to gain or lose from Brexit and which are most affected by Brexit uncertainty. We then estimate the effects of these different kinds of Brexit exposure on firm-level outcomes. We find that concerns about Brexit-related uncertainty extend far beyond British or even European firms. US and international firms most exposed to Brexit uncertainty have lost a substantial fraction of their market value and have reduced hiring and investment. In addition to Brexit uncertainty (the second moment), we find that international firms overwhelmingly expect negative direct effects of Brexit (the first moment), should it come to pass. Most prominently, firms expect difficulties resulting from regulatory divergence, reduced labor mobility, trade access, and the costs of adjusting their operations post-Brexit. Consistent with the predictions of canonical theory, this negative sentiment is recognized and priced in stock markets but has not yet had significant effects on firm actions.

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confidence: 85%

The Global Impact of Brexit Uncertainty

Hassan

Lent

Hollander

et al. 2019

INET Working Paper Series

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“…With these challenges in mind, we investigate the conditional pricing of CCEXPOSURE in the cross section of stocks. We follow Jamilov, Rey, and Tahoun (2021) and construct the factor as an unexpected shock to the aggregate value of

CCExposure

. This involves three primary steps.…”

Section: Economic Applicationsmentioning

confidence: 99%

“…A benefit of these measures is that they reflect "soft" information originating from information exchanges between managers and analysts. 1 To construct the climate change exposure measures, we build on recent work using quarterly earnings calls as a source for identifying firms' various risks and opportunities (Hassan et al (2019(Hassan et al ( , 2021(Hassan et al ( , 2023a(Hassan et al ( , 2023b, Jamilov, Rey, and Tahoun (2021)). These studies use the proportion of the conversation during an earnings call that relates to a particular topic to capture the firm's exposure to that topic.…”

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confidence: 99%

Firm‐Level Climate Change Exposure

Sautner¹,

Lent²,

Vilkov³

et al. 2023

The Journal of Finance

418

134

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We develop a method that identifies the attention paid by earnings call participants to firms' climate change exposures. The method adapts a machine learning keyword discovery algorithm and captures exposures related to opportunity, physical, and regulatory shocks associated with climate change. The measures are available for more than 10,000 firms from 34 countries between 2002 and 2020. We show that the measures are useful in predicting important real outcomes related to the net-zero transition, in particular, job creation in disruptive green technologies and green patenting, and that they contain information that is priced in options and equity markets. CLIMATE CHANGE WILL PROFOUNDLY AFFECT the way business is conducted. Scientists have developed complex models that estimate the effect of greenhouse gas emissions on the global climate. At the same time, however, little

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“…Following the National Institute of Standards and Technology (NIST), International Standards Organization, and European Network and Information Security Agency, Colorossi (2015, p. 507) summarizes the definition of the cyber vulnerability as "…a flaw, weakness, or lack of security control in hardware, software, or a system process that exposes the system to compromise; simply stated, vulnerability is an exposure to compromise, and most system compromises are the direct result of exploitation of identified vulnerabilities". In particular, during the COVID-19 lockdown, Jamilov et al (2021) reported that the cyber vulnerabilities significantly increase in 2020 due to remote work purposes with a large increase in the use of software. These spikes can also rise in the frequency of idiosyncratic and aggregate cyber incidents, which create an uncertain view of the future with regards to cyber security (Lallie et al, 2021).…”

Section: Why Critical Infrastructure? Covid-19 and The Cyber Risk Cli...mentioning

confidence: 99%

Dimensions of cybersecurity performance and crisis response in critical infrastructure organisations: an intellectual capital perspective

García-Pérez

Sallos

Tiwasing

2021

JIC

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PurposeThis research addresses the relationships between the current, dynamic organisational cyber risk climate, organisational cybersecurity performance and changes in cybersecurity investments, with an aim to address the hostile epistemic climate for intellectual capital management presented by the dynamics of cybersecurity as a phenomenon.Design/methodology/approachExpanding on the views of digital security and resilience as a knowledge problem, the research looks at cybersecurity as a critical capability within organisations, particularly relevant in critical infrastructure sectors. The problem is studied from the perspective of 400 C-level executives from critical infrastructure sectors across the UK. Data collected at the peak of the coronavirus disease 2019 (COVID-19) pandemic, a time when critical infrastructure organisations have been under a significant strain due to an increase in cybersecurity incidents, were analysed using partial least square structural equation modelling.FindingsThe research found a significant correlation between the board's perception of a change in their cybersecurity risk climate and patterns of both the development of cybersecurity management capabilities and cybersecurity investments. The authors also found that a positive correlation exists between the efforts placed by critical infrastructure organisations in cybersecurity training and the changes in investment in their cybersecurity, particularly in relation to their intellectual capital development efforts.Originality/valueTo the best of the authors’ knowledge, this is the first paper that explores the board's perception of cybersecurity in critical infrastructure organisations both from the intellectual capital perspective and in the dynamic cyber risk climate derived from the COVID-19 crisis. The authors’ findings expand on the growing perception of cybersecurity as a knowledge problem, and thus inform future research and practice in the domain of intellectual capital management and its role in supporting the cybersecurity and digital resilience of business and society.

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The Anatomy of Cyber Risk

Cited by 47 publications

References 0 publications

The Global Impact of Brexit Uncertainty

The Global Impact of Brexit Uncertainty

Firm‐Level Climate Change Exposure

Dimensions of cybersecurity performance and crisis response in critical infrastructure organisations: an intellectual capital perspective

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