Hi,I am new to this and trying to understand what is done to convert a ccar scenario which is in terms of economic view into market yield curve scenarios.I could not find any material on this any brief idea appreciated.regards

Isn't that what your firm's financial planning and risk models are supposed to accomplish? You pass macroeconomic and other variables into your prepayment functions, loss models etc. and out pop the P&L drivers. A big practical problem here is that there has been little variability in certain market variables as the western economies have been stuck in a liquidity trap for years. Little variation in independent variables means it is difficult to explain changes in dependent variables, in a sense there is no model without much variation in the x's.The benefit to the regulators of letting firms do the mapping from macroeconomic variables into financial model parameters is that they gain insight into the heterogeneity of modeling practices. The downside is that the results tend to be all over the map, meaning the ultimate results of the exercise are difficult to interpret and compare. One regulator (who shall remain nameless) decided to be a lot more prescriptive this time round by providing financial market variables as well as macroeconomic variables. I guess they grew tired of similar firms deriving significantly different market variables from the same macro forecasts.

Thanks David. appreciate your reply.regards