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Cyber risk modelling using copulas
Spišiak, Michal ; Teplý, Petr (advisor) ; Baruník, Jozef (referee)
Cyber risk or data breach risk can be estimated similarly as other types of operational risk. First we identify problems of cyber risk models in existing literature. A large dataset consisting of 5,713 loss events enables us to apply extreme value theory. We adopt goodness of fit tests adjusted for distribution functions with estimated parameters. These tests are often overlooked in the literature even though they are essential for correct results. We model aggregate losses in three different industries separately and then we combine them using a copula. A t-test reveals that potential one-year global losses due to data breach risk are larger than the GDP of the Czech Republic. Moreover, one-year global cyber risk measured with a 99% CVaR amounts to 2.5% of the global GDP. Unlike others we compare risk measures with other quantities which allows wider audience to understand the magnitude of the cyber risk. An estimate of global data breach risk is a useful indicator not only for insurers, but also for any organization processing sensitive data.
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Kybernetické riziko bezhotovostního a elektronického platebního styku
Kuchtová, Kateřina
Kuchtová, K. Cyber risk of non-cash and electronic payment. Bachelor thesis. Brno: Mendel University, 2017. The bachelor thesis is focused on cyber risk of non-cash and electronic payment. The first part of this thesis specifies the most popular electronic payments system and with that linked cyber risks. By questionnaire survey is then determined the extent and frequency of use of non-cash and electronic payment instruments. The survey also investigates the knowledge of users within the cyber security topic as well as the use of security measures and elements of individual instruments. At the same time, thesis should recommend steps to reduce the cyber risk.
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Assessment of cyber risk in the banking industry
Spišiak, Michal ; Teplý, Petr (advisor) ; Maršál, Aleš (referee)
There has never been more need to discuss cybersecurity related issues. We live in a world where criminals do not have to physically visit a bank to steal money from it, where elections results can be influenced by data breached from personal email accounts, where to win a war a country needs skilled cybersecurity specialists rather than powerful weapons and where patients do not get recommended treatment because a hospital is under a cyberattack. The financial industry as a backbone of any modern economy requires adequate protection against cybercrime. We discuss major cyber threats for financial institutions as well as possible protection methods. After that we introduce Basel II Framework for operational risk assessment and we evaluate data breach risk in an empirical analysis. 1
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Cyber risks in banking
Vozáriková, Veronika ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The aim of this bachelor thesis is to determinate current issues of cyber risks in banking. The purpose of this work is to increase awareness of cyber risk and provide a theoretical base for further analysis of specific risks in the field. The thesis should also outline current situation in the Czech Republic. Part of the work analyses the security of Internet banking of concrete institutions in the Czech market and also contains questionnaire survey about the awareness of cyber risks in the Czech Republic.
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Cyber risk of cashless and electronic payments
Jahodář, Martin ; Stádník, Bohumil (advisor) ; Teplý, Petr (referee)
The author of this bachelor thesis deals with the present phenomenon, namely cyber risk narrowed to the field of payments. The subject of this thesis is to present comprehensive and understandable information about this phenomenon with the accent on defining vulnerable points to cyber risk connected with payments. At the same time, it should recommend steps to reduce the cyber risk and show how other users do so. A survey research is a part of this thesis and it analyses the awareness of society in this field. Last but not least it shows real cases of the cyber-crime.
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Cyber risk in banking
Linert, Jan ; Teplý, Petr (advisor) ; Stádník, Bohumil (referee)
The bachelor thesis deals with the cyber risk in banking industry. Its main goal is to stress the imporatance of cyber risk both verbally and numericaly and review the approach of banks to this risk. The first part of this thesis specifies what cyber risk is and how it fits among other operational risks, presents the common cyber-attacks and archetypes of cyber criminals, later it delves into the cyber risk in Czech Republic and at the end of this part it mentions the legislation that covers the cyber risk. The second part of this thesis examines the cyber risk from three different angles: the amount of security threats from the analyses of security experts, the importance of cyber risk to the bankers from market analyses and evolution of the regulatory capital for operational risk from annual reports of chosen banks and the statistical data of EBA, ECB and ČNB.
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