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.