How to Forecast the Weight of Cyber-attacks Events on Stock Returns: Models, Correlations and VaR Backtest

This paper wants to analyse 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 situ-ation 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 analyse 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