| 基于VaR方法的中国石油企业跨国并购的价格风险评价 |
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| 引用本文： | 张意翔,胥朝阳,成金华.基于VaR方法的中国石油企业跨国并购的价格风险评价[J].管理学报,2010,7(3). |
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| 作者姓名： | 张意翔 胥朝阳 成金华 |
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| 作者单位： | 1. 武汉科技学院经济管理学院
2. 中国地质大学(武汉)经济管理学院 |
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| 基金项目： | 国家自然科学基金资助项目，国家社会科学基金资助项目，教育部新世纪优秀人才支持计划资助项目，中国地质大学(武汉)资源环境经济研究中心开放基金资助项目 |
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| 摘 要： | 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.
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| 关 键 词： | 石油企业 跨国并购 市场风险 HSAF法 |
Price Risk Evaluation for Overseas Merger and Acquisition of Chinese Oil Companies Based on VaR Modeling |
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| ZHANG Yixiang,XU Zhaoyang,CHENG Jinhua.Price Risk Evaluation for Overseas Merger and Acquisition of Chinese Oil Companies Based on VaR Modeling[J].Chinese JOurnal of Management,2010,7(3). |
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| Authors: | ZHANG Yixiang XU Zhaoyang CHENG Jinhua |
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| Abstract: | 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 M&A region. |
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| Keywords: | oil companies overseas mergers and acquisitions market risk historical simulation ARMA forecasting |
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