This is the main code and the dataset for the paper "Stress testing and systemic risk measures using elliptical conditional multivariate probabilities" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3575512 Tomaso Aste 03/05/2021 Just run (MATLAB or OCTAVE) the script StressTestingMultivariateGithub.m to obtain all figures in the paper