1. A computer-implemented system for generating risk factor scenarios for use in a risk management application, said system comprising: a scenario builder graphical user interface for receiving user input, wherein the user input defines: a plurality of risk factors affecting a portfolio under consideration, wherein each of said plurality of risk factors is an observable economic variable whose value or change in value translates into a change in the value of the portfolio under consideration, and wherein each of said plurality of risk factors is assigned to a risk factor class; a plurality of Block data structures such that each of the plurality of risk factors is stored in exactly one of the plurality of Block data structures, and such that risk factors in each Block data structure have similar statistical properties, wherein risk factors with similar statistical properties are assigned to the same risk factor class; at least one Model data structure, each Model data structure comprising data defining how values of risk factors with similar statistical properties change; a Scenario Generator data structure, said Scenario Generator data structure comprising a calibrated model for generating risk factor scenarios, wherein the calibrated model comprises: a list of blocks and models associating a Model data structure with each of said plurality of Block data structures, and a codependent structure defining relationships between risk factors of said plurality of risk factors; and a Scenario Set Definition data structure specifying how said Scenario Generator data structure is to apply to a user-specified risk management problem; at least one database for storing component and scenario data for a set of data structures comprising (i) the plurality of Block data structures, (ii) the at least one Model data structure, (iii) the Scenario Generator data structure, and (iv) the Scenario Set Definition data structure; and a scenario engine for generating a scenario set for a plurality of risk factors, wherein said scenario engine is a server and runs on a machine configured to generate the scenario set by applying said Scenario Generator data structure, as specified by the Scenario Set Definition data structure, to a sampling of random numbers, wherein said generated scenario set comprising values of said plurality of risk factors at one or more future points in time; and wherein said scenario engine produces one or more data files comprising data associated with said generated scenario set, for computing a monetary value associated with the portfolio under consideration.