We use a methodology based on a machine learning algorithm to quantify firms' cyber risks based on their disclosures and a dedicated cyber corpus. The model can identify paragraphs related to determined cyber-threat types and accordingly attribute several related cyber scores to the firm. The cyber scores are unrelated to other firms' characteristics. Stocks with high cyber scores significantly outperform other stocks. The long-short cyber risk factors have positive risk premia, are robust to all factors' benchmarks, and help price returns. Furthermore, we suggest the market does not distinguish between different types of cyber risks but instead views them as a single, aggregate cyber risk.

Large Language Models (LLMs) have significantly advanced natural language processing (NLP), providing versatile capabilities across various applications. However, their application to complex, domain-specific tasks, such as cyber-security, often faces substantial challenges. In this study, we introduce SecKnowledge and CyberPal.AI to address these challenges and train security-expert LLMs. SecKnowledge is a domain-knowledge-driven cyber-security instruction dataset, meticulously designed using years of accumulated expert knowledge in the domain through a multi-phase generation process. CyberPal.AI refers to a family of LLMs fine-tuned using SecKnowledge, aimed at building security-specialized LLMs capable of answering and following complex security-related instructions. Additionally, we introduce SecKnowledge-Eval, a comprehensive and diverse cyber-security evaluation benchmark, composed of an extensive set of cyber-security tasks we specifically developed to assess LLMs in the field of cyber-security, along with other publicly available security benchmarks. Our results show a significant average improvement of up to 24% over the baseline models, underscoring the benefits of our expert-driven instruction dataset generation process. These findings contribute to the advancement of AI-based cyber-security applications, paving the way for security-expert LLMs that can enhance threat-hunting and investigation processes.

Monitoring the threat landscape to be aware of actual or potential attacks is of utmost importance to cybersecurity professionals. Information about cyber threats is typically distributed using natural language reports. Natural language processing can help with managing this large amount of unstructured information, yet to date, the topic has received little attention. With this paper, we present AnnoCTR, a new CC-BY-SA-licensed dataset of cyber threat reports. The reports have been annotated by a domain expert with named entities, temporal expressions, and cybersecurity-specific concepts including implicitly mentioned techniques and tactics. Entities and concepts are linked to Wikipedia and the MITRE ATT&CK knowledge base, the most widely-used taxonomy for classifying types of attacks. Prior datasets linking to MITRE ATT&CK either provide a single label per document or annotate sentences out-of-context; our dataset annotates entire documents in a much finer-grained way. In an experimental study, we model the annotations of our dataset using state-of-the-art neural models. In our few-shot scenario, we find that for identifying the MITRE ATT&CK concepts that are mentioned explicitly or implicitly in a text, concept descriptions from MITRE ATT&CK are an effective source for training data augmentation.