Treasury risk measurement and empirical comparison- based on information entropy

Shanghai Stock Exchange and Shenzhen Stock Exchange exists some treasury bonds which have the same structure and properties; they have the same duration but different price. To deal with this phenomenon, this paper proposes information entropy to further measure the risk, then empirical comparison with the convexity, Variance and VaR methods. The results show that the entropy method can good distinguish the risk of such bonds; bonds risk in Shanghai Stock Exchange is lower than in Shenzhen Stock Exchange.