We identify two data-related errors in the work of Ouazad and Kahn (OK, RFS 2021). Correcting either of these errors or both entirely reverses the original result, in OK’s code and in our independent implementation. The two corrections we implement are to use the correct FHFA conventional loan...

We develop estimates of risk-based capital requirements for single-family mortgage loans held in portfolio by financial intermediaries. Our method relies on simulation of default and loss probability distributions via simulation of changes in economic variables with conditional default...