One of the typical tasks when constructing stress-test scenario is risk factor selection. Obviously, each portfolio has trade-specific factors which directly influence present value (PV) and potential future exposure (PFE) of positions and, thus, overall risk exposure and performance of the portfolio. For example, credit default spreads are needed to price Credit Default Swaps.
In most cases, however, there are global macroeconomic factors (GDP, interest rates, oil price etc.) and market-specific time series (such as market indices and key market drivers), which have indirect influence on trade-specific factors and, thus, portfolio value. This relationship can be measured ether by correlation, if relationship has no lag, or by autocorrelation, in case of lagged effect.