# Definition of risk factors for market risk scenario testing

I am doing a research for stress testing in market risk. The usual process I found out for scenario testing is:

1. Define risk factors upon the portfolio
2. Define the desired scenarios
3. Vary the risk factors and execute the different scenarios
4. Interprete the scenarios

My problem is that I do not know how to define the risk factors for a portfolio? Which R functionality could I use? For example, what are the risk factors for a simple FX portfolio when I consider the portfolio: EURUSD, USDMXN, AUDUSD, USDJPY and USDKRW?