  By treating the financial market as a thermodynamic system, we establish a
one-to-one correspondence between thermodynamic variables and economic
quantities. Measured by the expected loss under the worst-case scenario,
financial risk caused by model uncertainty is regarded as a result of the
interaction between financial market and external information sources. This
forms a thermodynamic picture in which a closed system interacts with an
external reservoir, reaching its equilibrium at the worst-case scenario. The
severity of the worst-case scenario depends on the rate of heat dissipation,
caused by information sources reducing the entropy of the system. This
thermodynamic picture leads to simple and natural derivation of the
characterization rules of the worst-case risk, and gives its Lagrangian and
Hamiltonian forms. With its help financial practitioners may evaluate risks
utilizing both equilibrium and non-equilibrium thermodynamics.
