![]() These plans are designed to complement the initiatives outlined in FHFA's Willen, Research Department, Federal Reserve Bank of Boston and National Bureau of Economic Research, 600 Atlantic Avenue, Boston, MA 02210 2204, Subscribe to receive e-mail notifications about new papers.Washington, DC – The Federal Housing Finance Agency (FHFA) today announced the release of Fannie Mae's and Freddie Mac's (the Enterprises) Equitable Housing Finance Plans for 2022-2024. Scott Frame, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, Kristopher Gerardi, Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, or Paul S. Please address questions regarding content to W. Any remaining errors are the authors’ responsibility. ![]() The views expressed here are the authors’ and not necessarily those of the Federal Reserve Banks of Atlanta and Boston, or the Federal Reserve System. They are indebted to Neil Desai and Ellie Terry for outstanding research assistance. The paper has also benefited from comments received at presentations at the Federal Reserve Board, Five Bridges LLC, the Atlanta Fed's Financial Markets Conference, the Chicago Fed's Bank Structure Conference, the Joint Central Banker's Conference at the Federal Reserve Bank of Cleveland, the Inaugural Conference of the MIT Center for Finance and Policy, the Southern Economic Association, the Richmond Fed, and participants in the applied economics seminar at the Wharton School. ![]() The authors thank Rosalind Bennett, Mark Flannery, Edward Golding, Andreas Lehnert, Scott Smith, Bob Triest, Geoff Tootell, and Robert Van Order for valuable suggestions. Key words: Bank supervision, stress test, model risk, residential mortgages, government-sponsored enterprises We show how each problem resulted in a significant underprediction of mortgage credit losses and associated capital needs at Fannie Mae and Freddie Mac during the housing bust. Second, the house price stress scenario was insufficiently dire. First, OFHEO had left the model specification and associated parameters static for the entire time the rule was in force. We study a key component of OFHEO's model-30-year fixed-rate mortgage performance-and find two key problems. ![]() experience tying stress test results to capital requirements was a spectacular failure: the Office of Federal Housing Enterprise Oversight's (OFHEO) risk-based capital stress test for Fannie Mae and Freddie Mac. Stress testing has recently become a critical risk management and capital planning tool for large financial institutions and their supervisors around the world. Willenĭownload the full text of this paper (320 KB) Scott Frame, Kristopher Gerardi, and Paul S. Southeastern Rental Affordability Tracker.Community Development at the Federal Reserve.Survey and Diary of Consumer Payment Choice.Center for Workforce and Economic Opportunity.Center for Quantitative Economic Research (CQER).Center for Financial Innovation and Stability (CenFIS).Advancing Careers for Low-Income Families.Research REIN New Orleans Request Information.Research REIN Nashville Request Information. ![]() Research REIN Miami Request Information.Research REIN Jacksonville Request Information.Research REIN Birmingham Request Information.Research REIN Atlanta Request Information. ![]()
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