CAJ | 학술논문

以VaR方法中的历史模拟ARMA预测方法（HSAF）为基本分析方法,以WTI原油现货价格为基本分析变量,衡量了中国石油企业在进行海外并购时面临的价格风险。研究结论表明,在97.6%的置信水平下,预测期内的VaR预测值比实际值要大得多,并且大多数情况下预测值是实际值的1~2倍。最后,对降低中国石油企业跨国并购市场风险提出了若干建议。
이VaR방법중적역사모의ARMA예측방법（HSAF）위기본분석방법,이WTI원유현화개격위기본분석변량,형량료중국석유기업재진행해외병구시면림적개격풍험。연구결론표명,재97.6%적치신수평하,예측기내적VaR예측치비실제치요대득다,병차대다수정황하예측치시실제치적1~2배。최후,대강저중국석유기업과국병구시장풍험제출료약간건의。
This papers analyses the Market Risk Chinese oil companies facing in overseas merger and acquisition（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,it discusses the avoidance way from strengthening market risk assessment in host country,reducing the interest rate and exchange rate risks,carefully determining the types of mergers and acquisitions,establishing overseas strategic alliances and strategically selecting the MA region.