Valuing the Overseas Mergers and Acquisitions Price Risk of Chinese oil companies: Based on VaR modeling

摘要

This papers analysis the Market Risk Chinese oil companies facing in overseas mergers and acquisitions (M & A) by using Historical simulation ARMA forecasting (HSAF) as the basic analysis method and the spot price of WTI crude oil as the basic analysis variables. It makes the conclusions that the VaR predictive value is much greater than the actual value under the confidence level of 97.6 percent; and, at the most time, the predictive value is 1-2 times than the actual value. This shows that China's oil companies are facing with a great deal of risk when carrying out overseas mergers and acquisitions. Finally, discuss the avoidance way from strengthening market risk assessment in host country, reducing the interest rate and exchange rate risks, determining the ways mergers and acquisitions will take carefully, establishing overseas strategic alliances, entering the region on strategic choice.