@Mridula Mishra
Microsoft ATP currently supports IBM QRadar and Micro Focus ArcSight through a dedicated SIEM integration model.
If you are talking about Splunk's Phantom, that is supported by a different integration model based on the new Alert API.
1) For the integration you will have to login to : https://df.securitycenter.microsoft.com/interoperability/partners and look for splunk :
2) Once selected you would need to download the ATP Add-on for Splunk :
Once done, you would need to import that data from splunk to Phantom.
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