5. For the purposes of paragraph 1, point (c), competent authorities shall, on a sample of non-modellable risk factors for which proxy data have been used in the stress period despite the number of returns N in the time series for the risk factor resulting from Article 7 of Delegated Regulation (EU) 2024/397 would allow for using the historical method or the asymmetrical sigma method referred to, respectively, in Articles 8 and 9 of that Delegated Regulation:
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(a)
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require the institution to provide the original time series for the risk factors before any proxy approach has been used;
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(b)
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require the institution to provide the time series used for the proxied risk factors;
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(c)
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compare the upward and downward calibrated shocks as resulting from the application of Article 8 and 9 of Delegated Regulation (EU) 2024/397 to the time series referred to in points (a) and (b) of this paragraph, and verify that shocks resulting from the proxied time series are not systematically less conservative than the shocks obtained by using the original time series.
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When applying that assessment method, competent authorities shall choose a sample of risk factors reflecting a variety of proxy approaches, including, where used, factor models, beta approximations, and mapping of risk factors to benchmarks, including names representative of the sector and region or indices.