2. For the purposes of paragraph 1, point (c), competent authorities shall, on a sample of risk factors that are proxied, verify whether:
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(a)
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the proxy approach used for those risk factors is the approach described in the internal policies as referred to in paragraph 1, point (a), and the proxy used is economically meaningful;
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(b)
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the basis risk between that risk factor as proxied and other risk factors is duly captured, including where different risk factors are proxied by mapping them to the same risk factor;
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(c)
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there are no cases where, as a result of the proxy, the specific risk is not duly captured.
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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.