Rischio informatico, rischio operativo e stablecoin: un'analisi econometrica

The chapters of this thesis comprise three separate studies on topics in cyber risk, operational risk and digital currencies. The first chapter discusses the impact cyber risk to firms and factors that play a role in mitigating or exacerbating costs. The second chapter focuses on the wider operational risks that face firms in the financial sector with additional attention paid to cyber risk. In the third chapter, I look at the design of basket-based digital currencies, their statistical properties and some of the policy implications. Chapter 1: The drivers of cyber risk Cyber incidents are becoming more sophisticated and their costs difficult to quantify. Using a unique database of cyber events across sectors in the US, we document the characteristics and drivers of cyber incidents. Cyber costs are higher for larger firms and for incidents that impact several organisations simultaneously. Events with malicious intent (i.e. cyber attacks) tend to be less costly, unless they are on the upper tail of the loss distribution. The financial sector is exposed to a larger number of cyber attacks but suffers lower costs, on average. The use of cloud services is associated with lower costs, especially when cyber incidents are relatively small. As cloud providers become systemically important, cloud dependence is likely to increase tail risks. Finally, we document that higher expenditure on IT is associated with future reduced costs from cyber incidents. Chapter 2: Operational and cyber risk in the financial sector. This paper uses a unique cross-country dataset at the loss event level to document the evolution and characteristics of banks’ operational risk. Operational risk capital varies substantially – from 2% to 12% of total gross income – depend- ing on the method used, and shows a growing cyber risk component. It takes, on average, more than a year for operational losses to be discovered and recognised in the books. We show that operational losses depend on macroeconomic conditions and the regulatory environment. Periods of excessively accommodative monetary policy are followed by larger operational losses. Stronger supervision is associated with lower operational losses. Chapter 3: Libra or Librae: Digital currency baskets. In this part of the thesis, with my coauthors, I attempt to analyse, from an empirical viewpoint, the advantages of a stablecoin whose value is derived from a basket of underlying currencies, against a stablecoin which is pegged to the value of one major currency, such as the dollar. To this aim, we first study the optimal weights of the currencies that comprise the basket. We then employ volatility spillover decomposition methods to understand which foreign currency mostly drives the others. Our empirical findings show that our basket based stablecoin is less volatile than all single currencies. This result is fundamental for policy making, and especially for emerging markets with a high level of remittances: a librae (basket based stable coin) can preserve their value during turbulent times better than a libra (single currency based stable coin).