Cyber risk can be modelled like credit risk, says Richmond Fed
US supervisors may begin to use historical datasets to assess risk at banks and system-wide
After more than five years of research, a team at the Federal Reserve Bank of Richmond in the US thinks its ability to quantify cyber risk is on a similar level to the early days of credit risk modelling around 50 years ago.
“In out-of-sample tests with subsets of the data, the team is able to identify firms that have cyber incidents about as well as Fico scores separate bad borrowers from good
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