While the existence of a central bar in our Galaxy now seems to be well established, its parameters (such as position angle, extension, axis ratio, angular speed etc…) still remain controversial. The large amount of photometrical and stellar kinematical data becoming now available within ∼ 30° of the Galactic Centre should provide potentially new constraints on these parameters. Unfortunately, a detailed barred model of the Milky Way, which would offer a powerful work frame to interpret such observations, does not exist yet. We therefore report here on a first attempt at constructing a 3D dynamically self-consistent barred model of the Galaxy. The idea is to follow the time evolution of a set of 400,000 particles initially distributed according to a plausible axisymmetric mass model of the Milky Way and in virial equilibrium, hoping that a bar will form spontaneously. Gas is not included so far, but will be introduced as a next step in this ongoing work. Some results presented at this meeting will be only quickly summarised here and explained in some more details elsewhere (Fux et al. 1995 and A&A paper in preparation).