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Ai, Jing, and Tianyang Wang. 2023. “Exploring Cyber Risk Contagion - A Boundless Threat.” Variance 16 (1).
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  • Table 1. Categories of cyber risk
  • Table 2. Keyword search strings based on three criteria
  • Table 3. Refined keyword search strings based on three criteria
  • Table 4. Summary statistics on firm characteristics for noncyber and cyber operational risk events
  • Table 5. Summary statistics for the three identified cyber risk clusters
  • Table 6. Cluster analysis results vs. event risk categories
  • Table 7. Principal components analysis for common factors in stock returns
  • Table 8. Unconditional and copula correlations for stock returns
  • Table A1. Count of cyber risk events by event starting year
  • Table A2. Length of events
  • Table A3. Top 10 countries of companies that had cyber risk events
  • Table A4. Industry sectors of companies that had cyber risk events


As the complexity and severity of cyber risk continue to expand, businesses face greater systemic risk from cyber threats. Cyber risk is likely contagious, given the increasing interconnectedness of the web-based global economy. Using a unique dataset, the SAS OpRisk Global Data, our research proposes and illustrates a flexible two-stage general framework to model cyber risk contagion across different entities and cyber risk events. This paper provides new insights on cyber risk contagion and can serve as an easily implementable stepping stone for businesses, insurers, regulators, and academics to analyze cyber risk contagion.

Accepted: February 14, 2020 EDT