Use of FpML for Risk Evaluation

Use of FpML for Risk Evaluation – white paper

The objective of this paper is to show how querying trades in FpML format can be used to evaluate risk in OTC derivatives. We started with recent consultation papers from the international regulatory community, searching for specific regulatory questions around risk evaluation that we could translate into data queries. We implemented the queries using a sample FpML data set and a widely used XML query language (XQuery) to extract the relevant information. We adapted certain queries to make them relevant for the test data set.

While the queries would require certain enhancements for implementation outside of the test environment, the data – in FpML format – is sufficiently structured to retrieve the information in an unambiguous way. When the questions are clearly defined, implementing the queries is shown to be fairly straightforward.

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