This note attempts to calculate the economic exposure in India to fluctuations in the USD/INR exchange rate. This economic exposure is estimated by calculating the currency exposure of a sample of firms using the Augmented Market Model, and then using these to calculate the aggregate equity Value-at-Risk (at 99% confidence and over a weekly horizon) of this sample to currency fluctuations.

Citation: The exchange rate exposure of Indian firms, Nidhi Aggarwal, Samata Dutta, Anjali Sharma FRG Technical Note 2014-03-28, March 2014.