This paper analyses the systemic risk in an emerging market context, with two innovations. It uses the average of the percentile ranking of three widely used measures of systemic risk of a firm to calculate a single systemic risk index (SRI) for the firm. It then uses the SRI to identify...

Some option series in the market are far less liquid than others. Market illiquidity can reduce the informativeness of option prices. In this paper, we propose alternative schemes to estimate implied volatility while reducing the importance attached to illiquid options. Using data for index...