Limit Setting Methodology

This document discusses setting internal rating linked limit controls for credit risk management. It examines the current credit portfolio, analyzes return and risk factors, considers risk appetite, and utilizes optimization to determine an appropriate limit structure divided by rating grades. Key points covered include analyzing average RAROC and volatility by grade, stress testing maximum loss scenarios, and ensuring the bank can maintain an 8% BIS ratio under stress conditions. The goal is to optimize the capital structure through setting maximum exposure limits by rating.