Cyber risks and particularly data breaches constitute one of the new frontiers of risk modeling for insurers across the world. We use the cointegration methodology to uncover the relation between data breaches and Bitcoin-related variables. We perform our analyses on two different datasets of data breaches. In both cases, we provide statistical evidence of a bidirectional lead–lag relation in the short run between the variables under investigation. Moreover, the existence of a cointegrating vector suggests that this relation is likely to persist in the long run. To evaluate the quantitative implications of the relations found, we complement the study with Granger causality tests, impulse response analyses and variance decompositions of the forecasting errors.

中文翻译：

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关于数据泄露的决定因素：协整分析

网络风险，尤其是数据泄露，构成了全球保险公司风险建模的新领域之一。我们使用协整方法来揭示数据泄露与比特币相关变量之间的关系。我们对两个不同的数据泄露数据集进行分析。在这两种情况下，我们都提供了短期内所研究变量之间的双向超前-滞后关系的统计证据。此外，协整向量的存在表明这种关系从长远来看可能会持续下去。为了评估所发现关系的定量含义，我们用Granger因果检验，脉冲响应分析和预测误差的方差分解对研究进行了补充。