Chinese Listed Companies Overseas M&A Risk Measurement Research Based On Expansion Of VaR Model

With increasing the scale of Chinese enterprises’ overseas mergers and acquisitions, the number of companies to participate in overseas mergers and acquisitions are also more and more. Chinese enterprise complete 222 overseas mergers and acquisitions, involving the turnover of RMB 193.699 billion in 2015. However, no matter technical analysis of before the merger or acquisition integration operations of after the merger, overseas M&A essence is a kind of enterprise investment behavior, and it is a kind of complex transnational investment. It contains a bigger risk and the case of failure.The existing research from different angles and direction to the problem of overseas mergers and acquisitions made a lot of beneficial discussion, but less comprehensive and systematic research. Most of the research literature has focused on qualitative analysis in the law, corporate finance and other fields, and to a certain extent, ignored the quantitative analysis of risk. And research on M&A risk assessment is only from one aspect. Some has carried on the overall evaluation, lack of applicable widely measure M&A risk quantitative model, research process relies too much on a single model. Lack of combination for M&A risk assessment results, so it can’t give an intuitive and clear explanation.Aiming at the shortcomings of the existing research literature appeared, this article will introduce investment risk measurement model in the field of financial engineering into the risk reseach of overseas M&A of listed companies in our country. Nowadays overseas M&A is one of the important behavior on external investment, especially in the current Chinese enterprises, in the period of economic transformation of the new normal the investment risk is often the key to the success of enterprises overseas mergers and acquisitions.First we innovate and optimize overseas M&A risk index system of Chinese enterprise. And filter the layer indicator variables by the double standard Matrix (DSF) Matrix, including representative of 12 indexes variables. Based on the analytic hierarchy process (AHP) construct the index system of enterprise overseas M&A risk assessment model, Determine the weight of each index layer and criterion layer respectively. Check its relative consistency, and in the category of all risk, valuation risk, exchange control, financing risk is the top three.And then set up a theoretical analysis of the new enterprise overseas M&A risk measurement framework. this article puts risk measurement method in the study of financial engineering into the overseas M&A risk measurement field. And has carried on the empirical analysis that Haier group mergers America’s general electric in 2016. in determining the sample yield sequence has the characteristics of "sharp peak and heavy tail", on the basis of targeted we use the models of GARCH-VaR, EGARCH-VaR and TARCH-VaR. Under the condition of all through the ARCH LM test, calculate the risk of the acquisition sequence of VaR value, and the VaR sequence values of three models of has carried on the posterior test, the results show that all sequences of the VaR value is effective.Then established the Chinese enterprises overseas M&A risk analysis framework of portfolio evaluation, aiming at three kinds of evaluating value of VaR risk measurement model. We combine evaluation by the fuzzy Borda method. Establish a long-term and short-term time series econometric model for the top three risk factors of overseas M&A risk evaluation index system. First of all we carry on ADF unit root test and JJ co-integration relationship test. Use the WLS fixed long-term cointegration equation of OLS regression model after G-Q test found heteroscedastic in the model. Then build the vector error correction model (VEC). Calculate the comprehensive VaR value with the top three risk factors for short-term balanced relations. Get short-term impact sensitive of various risk factors to risk comprehensive VaR value through the impulse response function (IRF).Finally, this paper expounds on the risk of overseas mergers and acquisitions should adopt preventive measures, including four risk categories that consistent with the established index system:system and legal risk, economic environment risk, corporate financial risk and management integration risk. And targeted countermeasures and suggestions were given.