IMF Working Papers

Cyber Risk for the Financial Sector: A Framework for Quantitative Assessment

By Antoine Bouveret

June 22, 2018

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Format: Chicago

Antoine Bouveret. Cyber Risk for the Financial Sector: A Framework for Quantitative Assessment, (USA: International Monetary Fund, 2018) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

Cyber risk has emerged as a key threat to financial stability, following recent attacks on financial institutions. This paper presents a novel documentation of cyber risk around the world for financial institutions by analyzing the different types of cyber incidents (data breaches, fraud and business disruption) and identifying patterns using a variety of datasets. The other novel contribution that is outlined is a quantitative framework to assess cyber risk for the financial sector. The framework draws on a standard VaR type framework used to assess various types of stability risk and can be easily applied at the individual country level. The framework is applied in this paper to the available cross-country data and yields illustrative aggregated losses for the financial sector in the sample across a variety of scenarios ranging from 10 to 30 percent of net income.

Subject: Banking, Cyber risk, Economic sectors, Financial regulation and supervision, Financial sector, Operational risk, Technology

Keywords: Aggregate loss, Business operation, Central bank, Cyber attack, Cyber risk, Data breach, Financial sector, Global, Loss data, Operational risk, Poisson distribution, Risk management, Systemic risk, WP

Publication Details

  • Pages:

    29

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2018/143

  • Stock No:

    WPIEA2018143

  • ISBN:

    9781484360750

  • ISSN:

    1018-5941

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