Schedule

Welcome/Opening Remarks

• Olivier Menoukeu Pamen (University of Liverpool)

• Evrald Mounkala/Thierry Emile Mvondo (BEAC)

From the monetary policy objective to the management of interest rates by central bank: Is mathematical modeling just enough or too much?

In this talk, the aim is to show that monetary policy has not yet exhausted the mathematical tools available, especially since the development of digital technology lends itself to this. This will illustrated by two main families of models used by central banks, their limits and therefore future development needs.

Speakers:

• Thierry Mvondo (BEAC)

What Makes the Market Jump?

Using intraday transaction prices and a non-parametric jump test, we show that jumps in the S&P 500 (e-mini) futures market are low-probability, high-impact events. Extant research investigating the causes of jumps primarily focuses on scheduled macro-announcements. However, we find that unscheduled news, which has so far received little attention, triggers twice as many jumps and accounts for a larger proportion of the jump variation than scheduled news. Intriguingly, we show that close to 50% of jumps are not explained by fundamental news, revealing the presence of “excess jumps” in financial markets.

Speakers:

• Chardin Sime Wete (University of Liverpool)

Credit Risk in the CEMAC zone

After a brief talk, this panel will discuss various credit risk problems encountered in the CEMAC economic zone and this has been tackle at the central bank level. 

Speakers:

• Guy Albert Kenkouo (BEAC)

• Thierry Mvondo (BEAC)

Impact of Social Factors on loan delinquency in microfinance

This talk will highlight the impact of some social factors that play an important role in understanding repayments behaviours of customer of micro-finance institutions in developing countries. The speaker will present a model that can be used as benchmark to predict the future behaviour of customers throughout the repayment period of their loans and over multiple periods.

Speakers: 

• Cedric Koffi (University of Liverpool)

Role of mathematical modeling for central banks in Sub-Saharan Africa: Practical Case: Analysis of the effects of macroeconomic shocks and environmental on the activity in the CEMAC zone by a QPM

After the talk, discussion will involved the importance of the state space model and Kalman filter in mathematical modeling for the effect of macroeconomic and environmental shock in the activities of the central bank.  

Speakers: 

• Armand Leroy Fossouo (BEAC)

• Thierry Mvondo (BEAC)

Comparison of Lee-Carter and recurrent neural network model in forecasting Ghana mortality

Speakers:

• Emmanuel Coffie (University of Liverpool)

Application of stochastic modelling and optimal control theory in central banking

After a brief talk, this panel will discuss how stochastic analysis and optimal control theory can be applied to tackle problems in central banking. This problems include finding the benchmark interest rate from the central bank, optimally invest in some portfolios, etc

Speakers:

• Armand Brice Ngoupeyou (BEAC)

• Thierry Mvondo (BEAC)

Pension contribution in CEMAC economy: Challenges and possible solutions

Speakers: 

• Josue Lema Joblona (BEAC)

• Thierry Mvondo (BEAC)

Discussions and brainstorming 

Discussions and way forward