Answer-first summary for fast verification
Answer: Implementing asset-liability management
C is correct. Asset-liability management is a process used in managing banks' funding liquidity risk, with techniques including gap and duration analysis. This is important because maturity mismatches on banks' balance sheets (for example, if a bank funds longer-term loans using short-term deposits) can create risk for a bank if short-term interest rates rise faster than longer term rates. A is incorrect as model risk managers/developers are responsible for building VaR models, which are used to manage market risk. B is incorrect because credit default swaps are used to hedge against counterparty risk, which is a form of credit risk. D is incorrect as estimating loss given default is used to quantify credit risk.
Author: LeetQuiz Editorial Team
Ultimate access to all questions.
A newly appointed treasury risk analyst at a leading financial institution has been assigned to a team responsible for managing the bank's liquidity risk. In order to understand the scope of their upcoming responsibilities, they are reviewing the tasks they will be required to perform. Among the following duties, which one is most likely to be part of the treasury risk analyst's job description?
A
Building VaR models
B
Purchasing credit default swaps
C
Implementing asset-liability management
D
Estimating loss given default
No comments yet.