Research On Investment Risk Measurement And Risk Decision For Oil And Gas Exploration Project Based On CVaR Theory

The oil and gas resource is one of the major energy sources of human societywhich can not be substituted recently. When the man entered the 20th century, oilbecause of its more favorable to human development replaces gradually coal as theworld's largest energy. It is no exaggeration to say that: the world economy is built uparound the oil in the 20th century. Oil and gas resources are the non-renewableresources. Since 1980s, the world's natural gas exploration discovery scale hasbecome gradually smaller, obviously exploration risk is increasing gradually. Oil andgas exploration is a highly complex, large-scale system engineering, which is typicalof the "three high and one long" (high input, high risk, high-yield, long period) projectThe exploration and development project associates with large uncertainties. How toevalue and optimize scientifically exploration targets on "risk - benefit", how toimprove the success rate of oil and gas exploration and economic benefits, havebecome a hot topic concern for national oil companies.As the long-term impact of the planned economic system, oil and gas business's risk awareness is weak, risk management concept is relatively backward, risk analysis basis is relatively weak, which affect seriously the overall economic efficiency of enterprises and hinder the development of enterprises. With the deepening reform of oil companies and restructuring market, integrating in the market environment, companies competition is increasingly fierce, the theory has been gradually transformed into the pursuit of corporate value, shareholdering rights and the pursuit of maximum economic efficiency, oil companies face unprecedented challenges. Oil and gas exploration project is an intensive capital project which is high risk and high return, risk is inevitable, risk assessment and risk decision-making will become integral key components for the oil company exploration and development investmentdecisions.This paper studied skills and experience of risk assessment of domestic and foreign oil and gas exploration. Firstly, risk measurements and decision-making methods were analyzed and summarized systematically and comprehensively. Then based on CVaR theory, with the conditional value at risk as a risk measurement indicator, it constructed the oil and gas exploration risk portfolio model, measured investment risk and investment income. Secondly, to improve the overall risk profile, to assess investment opportunities, to analyze the impact of adjusted assets on the portfolio risk, it used three new methods of portfolio risk based on CVaR, which are the marginal CVaR, cost CVaR and incremental CVaR, they are a useful supplement combination. Finally, the northern basin of shallow oil exploration project as a practical application, it illustrated the effectiveness and superiority of the model. This example indicates that the application results of the model meet objective reality and has some practical values and practical significances.The progresses of this thesis gotten are as follows:(1) This article introduced portfolio theory to risk measurement of investment in oil and gas exploration project. The important theoretical foundation is the interaction between multiple projects, comparing to the past that only measured the risk of an item, it demonstrated the feasibility and practical significance. On the one hand, it can maximize the economic portfolio return under the acceptable level of risk investors; decision-makers can understand the company's assets better by the process analysis.(2) CVaR as a risk measurement method has some good characteristics such as sub-additive and convexity. In this article CVaR were applied to the risk measurement and decision models of the oil and gas exploration and investment, and CVaR as a indicator of risk measurement measured the portfolio risk. In the risk measurement model, using conditional value at risk measure CVaR as the objective function of portfolio risk, using VaR as a restriction to control the portfolio risk, it calculated the minimum value of investment risk and a set of best investment package.(3) This article used three new methods of portfolio risk based on CVaR, which are the marginal CVaR, cost CVaR and incremental CVaR, and established investment decision models. It calculated and analyzed the marginal contribution of each trap to portfolio CVaR, risk value of each trap'ratio in the proportion of portfolio risk and the impact of adding and deleting of each trap to portfolio risk. It could help decision-makers to make a better understanding of portfolio risk and portfolio risk composition; make a effective portfolio risk profile adjustment; make a dynamic management of the portfolio, and ultimately provide a theoretical basis to reduce the investment risk.