How to forecast the weight of cyber-attacks events on stock returns: models, correlations and var backtest

This paper wants to analyze the cyber-risk impact on economy in particular on the returns of the companies suffering information breaches. The problem has become very interesting in recent years in the literature for the large dependence of the business with cyber world, in particular nowadays due to the pandemic situation of COVID-19 for the hard necessity of IT solutions. The analysis focuses on event study in which are investigated cyber-attacks on stock prices, suffered by selected companies. Cyber-risk phenomenon is processed considering a portfolio of targeted assets, in order to analyze their correlation. Risk measures, such as VaR, will be evaluated and backtested using different methods to monitor which one is able to better capture this type of riskiness.