  We propose a Monte Carlo simulation method to generate stress tests by VaR
scenarios under Solvency II for dependent risks on the basis of observed data.
This is of particular interest for the construction of Internal Models and
requirements on evaluation processes formulated in the Commission Delegated
Regulation. The approach is based on former work on partition-ofunity copulas,
however with a direct scenario estimation of the joint density by product beta
distributions after a suitable transformation of the original data.
