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Market Risk Scenarios

Metadata Updated: January 25, 2023

The FHFA methodology to construct a historically-based shock for a given interest rate is to measure the absolute change at each term point on the corresponding yield curve over a six-month horizon, and then impose that absolute change on the current measure of that yield curve.   However, because the current rate environment may differ significantly from the historical rate environment, imposing the historical shock on the current rate can result in a shock scenario that is implausible.  Implausible shock scenarios include any that contain negative values for interest rates, and those where the resulting spread between any two different interest rates is inconsistent with the historically observed spread.  To ensure that the resulting shock scenarios are plausible, FHFA uses a technique known as parsimonious factorization to represent each yield curve as a five-factor equation, and then applies measures of the shock made in parameter space to the current yield curve parameters to determine the shocked yield curve.  This approach facilitates a straightforward means to impose constraints on generating the shock scenario that ensure its plausibility.

Access & Use Information

Public: This dataset is intended for public access and use. License: No license information was provided. If this work was prepared by an officer or employee of the United States government as part of that person's official duties it is considered a U.S. Government Work.

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Metadata Created Date January 25, 2023
Metadata Updated Date January 25, 2023
Data Update Frequency R/P1M

Metadata Source

Harvested from FHFA JSON

Additional Metadata

Resource Type Dataset
Metadata Created Date January 25, 2023
Metadata Updated Date January 25, 2023
Publisher Federal Housing Finance Agency
Identifier FHFA4238
Language en-US
Data Last Modified 2023-01-20T20:34:14.544Z
Rights true
Public Access Level public
Data Update Frequency R/P1M
Bureau Code 015:11
Metadata Context
Schema Version
Catalog Describedby
Data Quality True
Data Dictionary
Harvest Object Id 2bb637c6-fa81-488f-9192-0bfc19ca7aa8
Harvest Source Id f37782a8-9657-4976-8077-936b628b3973
Harvest Source Title FHFA JSON
Homepage URL
Program Code 015:001
Publisher Hierarchy Federal Housing Finance Agency > Federal Housing Finance Agency
Source Datajson Identifier True
Source Hash 1ead52e8512505dd77e22cf31434b40293999781
Source Schema Version 1.1

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