基于CVaR理论的油气勘探投资项目风险度量与决策研究
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摘要
油气资源是近期人类社会发展不可替代的主要能源之一。当人类步入20世纪后,石油这一能源因为其对人类的发展更有利而逐步取代煤炭成为世界上第一大能源。可以毫不夸张地说:20世纪世界经济是围绕着石油而建立起来的经济。油气资源属于不可再生资源,自20世纪80年代以来,世界油气勘探的发现规模在逐渐变小,显然勘探风险同时在逐渐加大。石油天然气勘探是一项极为复杂、大型的系统工程,属于典型的“三高一长”(高投入,高风险,高产出,长周期)项目,整个勘探开发项目中伴随着大量不确定因素。如何从“风险—效益”角度对勘探目标进行科学评价和优选,提高油气勘探的成功率和经济效益,已经成为各国石油公司关注的一个热点问题。
由于长期受计划经济体制的影响,油气企业从上到下风险意识淡薄,风险管理理念比较落后,风险分析的基础也比较薄弱,在风险控制方面重视程度不足,严重影响了企业的整体经济效益,阻碍了企业的发展。随着我国石油企业改革的深入和改组上市,融入了市场环境当中,企业之间的竞争也越来越激烈,其经营理念已逐步转变为追求企业价值、经济效益和股东权益最大化,石油企业面临着前所未有的挑战。油气勘探项目是资金密集型项目,具有高风险、高回报的特点,风险不可避免,所以风险评价与风险决策将成为我国石油企业在勘探开发投资决策中不能缺少的关键组成部分。
本文在研究学习、借鉴国内外油气勘探风险评价的研究经验及技术成果的基础上,首先对国内外现有的风险度量与决策方法进行系统全面的分析和总结,然后以CVaR理论为基础,用条件风险价值作为风险计量指标,构建了油气勘探风险投资组合模型,度量投资风险及投资收益;再后,为改进整体风险状况、评估投资机会、分析资产调整对组合风险的影响,运用了基于CVaR延伸的三种新的分析和管理投资组合风险的方法,即边际CVaR、成分CVaR和增量CVaR,是对组合CVaR方法的有益补充;最后,以松辽盆地北部中浅层石油与天然气勘探项目的实例应用,来说明该模型的有效性和优越性。实例应用表明,该模型应用效果符合客观实际,具有一定的实用价值和现实意义。
论文取得的成果:
(1)本文将投资组合理论引入到了油气勘探投资项目的风险度量中,其重要的理论基础是把重点放在多项目之间的相互作用上,与以往只针对某一个项目度量风险相比,体现出其可行性和现实意义。一方面,在投资者可接受的风险水平内尽可能增加投资组合的经济回报;另一方面,决策者可以通过分析过程更深入的了解公司的资产。
(2)由于风险度量方法CVaR具有次可加性和凸性等良好的特性,本文将其运用到了油气勘探投资项目的风险度量与决策的建模之中,以CVaR为风险计量指标度量投资组合的风险。在风险度量模型中,用条件风险价值CVaR最小为目标函数度量组合风险,用VaR为约束条件控制组合风险,得出投资风险最小值和在此基础上的一组最佳投资组合方案。
(3)本文运用了基于CVaR延伸的三种新的分析和管理投资组合风险的方法,即边际CVaR、成分CVaR和增量CVaR,建立了投资决策模型。分别计算和分析了,组合中的每个圈闭对组合CVaR的边际贡献;每个圈闭的风险值在组合风险中所占的比例;每个圈闭的去留对组合风险的影响。为决策者更进一步的了解组合风险和组合风险的构成,以及有效的调整投资组合的风险状况,对投资组合进行动态管理,最终达到降低投资风险提供了理论基础。
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.
由于长期受计划经济体制的影响,油气企业从上到下风险意识淡薄,风险管理理念比较落后,风险分析的基础也比较薄弱,在风险控制方面重视程度不足,严重影响了企业的整体经济效益,阻碍了企业的发展。随着我国石油企业改革的深入和改组上市,融入了市场环境当中,企业之间的竞争也越来越激烈,其经营理念已逐步转变为追求企业价值、经济效益和股东权益最大化,石油企业面临着前所未有的挑战。油气勘探项目是资金密集型项目,具有高风险、高回报的特点,风险不可避免,所以风险评价与风险决策将成为我国石油企业在勘探开发投资决策中不能缺少的关键组成部分。
本文在研究学习、借鉴国内外油气勘探风险评价的研究经验及技术成果的基础上,首先对国内外现有的风险度量与决策方法进行系统全面的分析和总结,然后以CVaR理论为基础,用条件风险价值作为风险计量指标,构建了油气勘探风险投资组合模型,度量投资风险及投资收益;再后,为改进整体风险状况、评估投资机会、分析资产调整对组合风险的影响,运用了基于CVaR延伸的三种新的分析和管理投资组合风险的方法,即边际CVaR、成分CVaR和增量CVaR,是对组合CVaR方法的有益补充;最后,以松辽盆地北部中浅层石油与天然气勘探项目的实例应用,来说明该模型的有效性和优越性。实例应用表明,该模型应用效果符合客观实际,具有一定的实用价值和现实意义。
论文取得的成果:
(1)本文将投资组合理论引入到了油气勘探投资项目的风险度量中,其重要的理论基础是把重点放在多项目之间的相互作用上,与以往只针对某一个项目度量风险相比,体现出其可行性和现实意义。一方面,在投资者可接受的风险水平内尽可能增加投资组合的经济回报;另一方面,决策者可以通过分析过程更深入的了解公司的资产。
(2)由于风险度量方法CVaR具有次可加性和凸性等良好的特性,本文将其运用到了油气勘探投资项目的风险度量与决策的建模之中,以CVaR为风险计量指标度量投资组合的风险。在风险度量模型中,用条件风险价值CVaR最小为目标函数度量组合风险,用VaR为约束条件控制组合风险,得出投资风险最小值和在此基础上的一组最佳投资组合方案。
(3)本文运用了基于CVaR延伸的三种新的分析和管理投资组合风险的方法,即边际CVaR、成分CVaR和增量CVaR,建立了投资决策模型。分别计算和分析了,组合中的每个圈闭对组合CVaR的边际贡献;每个圈闭的风险值在组合风险中所占的比例;每个圈闭的去留对组合风险的影响。为决策者更进一步的了解组合风险和组合风险的构成,以及有效的调整投资组合的风险状况,对投资组合进行动态管理,最终达到降低投资风险提供了理论基础。
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.
引文
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