HUD FHFA Bank Stress Tests
Principal Investigator(s): View help for Principal Investigator(s) United States Department of Housing and Urban Development
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| Data-Files | 03/11/2025 09:05:PM | ||
| Supplementary-Information | 03/06/2025 09:22:PM |
Project Citation:
United States Department of Housing and Urban Development. HUD FHFA Bank Stress Tests. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-03-12. https://doi.org/10.3886/E221821V1
Project Description
Project Title:
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HUD FHFA Bank Stress Tests
Summary:
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Bank stress test data created by the Federal Housing Finance Authority (FHFA). Includes market risk macroeconomic scenarios and credit risk macroeconomic scenarios for stress-testing mortgage related assets. Supplementary information includes complete webpages and a reproducible .Rmd file. Working papers published by the FHFA related to this data have been included as well.
From the FHFA website:
FHFA has developed market and credit risk related macroeconomic scenarios that it provides to the Federal Home Loan Banks (Banks). These scenarios are inputs to financial models that the Banks use to assess the exposure of their entire portfolio to market risk, and the exposure of their mortgage-related assets to credit risk. These exposures are measures of the potential loss in market value under stressful economic conditions. FHFA updates both the market and credit risk macroeconomic scenarios quarterly.
From the FHFA website:
FHFA has developed market and credit risk related macroeconomic scenarios that it provides to the Federal Home Loan Banks (Banks). These scenarios are inputs to financial models that the Banks use to assess the exposure of their entire portfolio to market risk, and the exposure of their mortgage-related assets to credit risk. These exposures are measures of the potential loss in market value under stressful economic conditions. FHFA updates both the market and credit risk macroeconomic scenarios quarterly.
Original Distribution URL:
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https://www.fhfa.gov/data/fhlb-stress-tests-market-and-credit-risk
Scope of Project
Time Period(s):
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2018 – 2025 (Quarterly)
Related Publications
Published Versions
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