Discussion paper

DP16217 The Anatomy of Cyber Risk

This paper uses computational linguistics to introduce a novel measure of firm-level cyber-risk exposure based on quarterly earnings conference calls of listed firms. Our data span 13,000 firms from 85 countries over 2002-2021. We show cyber-risk exposure predicts cyber-attacks, affects stock returns and profits, and is priced in the equity option market. Cyber-risks spill over across firms and pass through from firm to sectoral level. The geography of cyber-risk is well approximated by a gravity model in which financial proximity is key. Back-of-the-envelope calculations suggest that the global cost of cyber-risk is over $200 billion per year.


Jamilov, R, H Rey and A Tahoun (2021), ‘DP16217 The Anatomy of Cyber Risk‘, CEPR Discussion Paper No. 16217. CEPR Press, Paris & London. https://cepr.org/publications/dp16217