2023
DOI: 10.32479/ijefi.14510
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Estimated Impact of Covid-19 on Exchange Rate Risk of Multinational Enterprises Operating in Emerging Markets

Abstract: Multinational enterprises (MNE) operating in emerging countries are exposed to various types of risk.   Exchange rate risk is an important and anticipated part of MNE’s total risk exposure, with a variety of tools available to mitigate that risk. In this study, we focus on transaction exposure of cash flows in eight distinctive emerging market currencies and employ the Modified Value-at-Risk (MVaR) model to estimate the maximum one-period loss during an eighteen-month period spanning pre- and post-Covid-19 per… Show more

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