Risk Decomposition and Information Structure in Security Market
Gao Quan-sheng · Application of Statistics and Management · 2009
Risk decomposition method is proposed when considering information structure problem in security market.Coherent risk CVaR is used to measure risk and information shock to risk effect is decomposed into public information effect and private information effect.The model is tested by Chinese stock markets data though calculating public information index and private information index.The information structure of Chinese stock markets is also studied.