PR: Add workflow to notify vulnerabilities.

This action should fail as we use GoLang v1.19 which does have
vulnerabilities, In the following commits the version will be bumped
and then this action should show no vulnerabilities.

.github/workflows/check-vulnerabilities.yml

@@ -0,0 +1,39 @@
+# Copyright 2023 Democratized Data Foundation
+#
+# Use of this software is governed by the Business Source License
+# included in the file licenses/BSL.txt.
+#
+# As of the Change Date specified in that file, in accordance with
+# the Business Source License, use of this software will be governed
+# by the Apache License, Version 2.0, included in the file
+# licenses/APL.txt.
+
+name: Check Vulnerabilities Workflow
+
+on:
+  pull_request:
+    branches:
+      - master
+      - develop
+
+  push:
+    tags:
+      - 'v[0-9]+.[0-9]+.[0-9]+'
+    branches:
+      - master
+      - develop
+
+jobs:
+  check-vulnerabilities:
+    name: Check vulnerabilities job
+
+    runs-on: ubuntu-latest
+
+    steps:
+      - name: Run govulncheck
+        uses: golang/govulncheck-action@v1
+        with:
+          go-version-input: "1.19.5"
+          go-package: ./...
+          check-latest: true
+          cache: true