Okay, maybe not perfect, but it works for me. I use V-Ray's Sky-Dome with a V-Ray Sun to illuminate my exteriors, and interiors for that matter. Here, is a quick video showing you my workflow.
Several months ago I stumbled across this little script that saves a ton of time and it is called Find and Bind. Basically, it creates the V-Ray Sky-Dome and V-Ray Sun, places an HDRI in both the V-Ray Sky-Dome and MAX's Environment slot; it also makes the HDRI MAX's view-port background. My example HDRI was purchased at HDRI-Locations, which is where I purchase all my HDRI's. Although the HDRI's are pretty expensive, as far as HDRI's go, they are the best ones I have found.
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