Multivariate stress scenarios and solvency

► We show how to construct scenario sets for stress testing using half-space depth and provide examples. ► We introduce the idea of Least Solvent Likely Event (LSLE). ► We give a dual representation of Value-at-Risk as a stress test when it is subadditive on linear spaces of risk factors. ► We show how to construct convex scenario sets related to coherent risk measures. ► We show a way constructing reverse stress tests.