Abstract
In the security market, there are some bonds with the same structure and properties, namely the same duration and credit level, but their prices are in distinct difierence. In this paper, we flrstly explore information entropy to measure the risk of such kind of bonds, and discuss the difierence of the four kinds of methods, namely entropy, convexity, variance and VaR, then make empirical comparisons among them by using the bond data from Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) in China. The results show that the information entropy method can be a better risk measurement of such bonds than other methods, and the bond risk in SSE is lower than that in SZSE in China.
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