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The objective of this paper is to show how querying trades in FpML format allows to perform risk evaluation of Over-The-Counter (OTC) derivatives. We evaluated recent regulatory consultation papers from the international regulatory community in search for specific regulatory questions around risk evaluation that we can translate into data queries. We implement the queries using a sample FpML data set and a widely used XML query language (XQuery) to extract the relevant information. We adapt 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 required information in an unambiguous way. When the questions are clearly defined, implementing the queries has shown to be fairly straightforward.
