Training on “Monte Carlo Simulation Applied to Finance” facilitated by Professor Issouf Soumaré of Université Laval, Québec

(Dakar, March 4-6, 2020)

As part of the implementation of COFEB’s cooperation policy in the area of training and research, the Research and Partnerships Directorate (DRP) organized a methodological workshop from March 4 to 6, 2020 on “Monte Carlo Simulation Applied to Finance”. This workshop aimed to introduce participants to Monte Carlo simulation using MATLAB (Matrix Laboratory) software to model random phenomena in finance and economics. The opening ceremony was marked by a welcome address by the Director of Research and Partnerships, Ms. Ndèye Amy Ngom Seck, followed by a speech by the General Manager of COFEB, Mr. Ousmane Samba Mamadou.

The workshop was facilitated by Issouf Soumaré, Associate Professor of Finance and expert in risk management and financial engineering, and Director of International Relations at the Faculty of Administrative Sciences of Université Laval and the Financial Engineering Laboratory. It should be noted that this workshop was the first activity conducted under the cooperation agreement between the BCEAO and Université Laval, which was formalized in October 2019.

In addition to the DRP, the meeting was attended by officials from the Directorate of Economic Studies and Regional Integration, the Directorate of Financial Stability, the Directorate of Banking Activities and Alternative Financing, the Directorate of Market Operations, the Directorate of Statistics and the Directorate of Economic Conditions and Monetary Analysis.

During the three-day training session, the participants were introduced to the Monte Carlo Simulation method and its practical applications in financial risk assessment. The training started with a presentation of random variable and vector generation using MATLAB software, which is a high-level scientific computing language and an interactive environment for algorithm development, data visualization and analysis, and numerical computation. It continued with a presentation of techniques and tools used to improve the quality of simulations without increasing computation time and also focused on the use of Monte Carlo simulation to solve stochastic differential equations describing the dynamics of economic or financial phenomena (e.g., asset prices on the stock market, exchange rates, interest rates) whose fluctuations cannot be accurately predicted at a later date. Finally, participants discussed the practical applications of Monte Carlo simulation to assess the risk of default by a business, an investor or a State.

On the sidelines of the training sessions, Professor Soumaré conducted working sessions with the research team and the Research and Partnerships Directorate. They focused on methodological considerations associated with the drafting and publication of research documents as well as on the implementation of specific activities provided for under the cooperation agreement between the Central Bank and Université Laval. 

At the end of the event, Professor Soumaré expressed his satisfaction regarding the successful completion of the sessions and the quality of exchanges with the participants. He also thanked COFEB and the BCEAO for their warm welcome and the convenient working conditions they provided.

Mr. Ousmane Samba Mamadou, General Manager of COFEB, praised Professor Soumaré for the quality of his presentations and commended his commitment to working with the BCEAO to promote research in the WAMU zone. He reiterated the vision of the Governor to make research one of the flagship activities of COFEB and reaffirmed the Center’s willingness to deepen its relationship with Université Laval.