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Answer: Analyzing correlation and volatility assumptions in a bank's VaR models
Analyzing volatility and correlation assumptions is an appropriate responsibility for an audit function.
Author: LeetQuiz Editorial Team
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Regulators in an emerging market are in the process of establishing standards to clearly define the appropriate risk management responsibilities across different roles within the banking sector of the country. A regulatory analyst has been assigned the task of creating a report that recommends best practices for the bank’s comprehensive risk management, audit, and operational functions. In doing so, what would be a suitable responsibility for the audit function according to the analyst's recommendations?
A
Analyzing correlation and volatility assumptions in a bank's VaR models
B
Implementing risk management policies related to stock-based compensation
C
Monitoring risk exposures on a day-to-day basis for adherence to a bank's concentration limits
D
Processing confirmations and settlements for trades executed by a bank
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