Quantile based risk measures in cyber security

Measures and methods used in financial sector to quantify risk, have been recently applied to cyber world. The aim is to help organizations to improve risk management strategies and to wisely plan investments in cyber security. On the other hand, they are useful instruments for insurance companies in pricing cyber insurance contracts and setting the minimum capital requirements defined by the regulators. In this paper we propose an estimation of Value at Risk (VaR), referred to as Cyber Value at Risk in cyber security domain, and Tail Value at risk (TVaR). The data breach information we use is obtained from the 'Chronology of data breaches' compiled by the Privacy Rights Clearinghouse.