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Dynamics of the Irish Government Securities Market

Golden, J. (1998). Dynamics of the Irish Government Securities Market. (Unpublished Doctoral thesis, City, University of London)


In this dissertation, the dynamics of the Irish government securities markets over the last eighteen years are analysed. The first chapter fits and models the Irish term structure of interest rates using a bootstrapping spline methodology. Problems such as a lack of sufficient data, particularly for the longer maturity dates, very significant outliers at the short end and the behaviour of bonds with embedded options are discussed and addressed. This is followed by estimates of the parameters for the stochastic process followed by the Irish term structure. The findings have important ramifications for the suitability of particular arbitrage free term structure models of the behaviour of bond values.

The microstructure underlying the term structure is examined together with the efficiency of the existing agency structure. Using the revenue and cost functions of the agency structure, the microstructure is analysed. The viability of market making is investigated. The moments of the primary dealers profit probability density function are identified and simulated on an annual basis. Primary dealing is developed and integrated with actuarial ruin theory to quantify market maker's capital requirements and the probability of the failure of a primary dealer system is estimated.

These findings are applied to different types of financial institutions in order to identify their investment freedom. A continuous trading model is used to develop a contingent immunisation analysis and apply it to portfolio management to model how these firms move from an immunised portfolio allocation.

Publication Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
J Political Science > JN Political institutions (Europe)
Departments: Bayes Business School > Bayes Business School Doctoral Theses
Bayes Business School > Finance
Doctoral Theses
[thumbnail of Golden Thesis 1998 PDF-A.pdf]
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