Ever wonder how stable our housing market is? See it for yourself! 👀

• Vary mortgage default rates for "normal" and "stressed" scenarios
• Choose how large your hypothetical holdings of fixed-rate mortgages (FRMs) are
• Visualize the distribution of net or percentage returns of a hypothetical portfolio
• See how VaR, ES, volatility, skew, and kurtosis change for each scenario

An experiment 🔬 with using Spark to process a large dataset, using Fannie Mae documentation to understand mortgage reporting standards, and Python to run a Monte-Carlo simulation.

Data source: Single-Family FRMs finalized from 2020-2024