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Countercyclical Stress Paths

Two FHFA Working Papers (WP 12-2​ and WP ​14-1​) have developed​ a countercyclical capital approach based on a specific credit risk model.  Below are links to the house price ind​ex and interest rate data that constitute the countercyclical shocks that can be entered as inputs in any credit risk model that would be used to estimate potential credit risk-related losses from mortgage assets.​​ Questions or comments can be sent to countercyclical@fhfa.gov.

​Description ​Format

Stress path scenarios using monthly state house price appreciation (HPA)


Interest rate scenarios for the 2 year swap, 10 year swap, and PMMS


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