Hi Nag,
the scenario you want to implement is not supported anymore as far as I know. It is also not described in the official documentation for the integration anymore (SAP NetWeaver Identity Management  Complia... | SCN).
As I recall the scenario it was like this: When it was a supported scenario it was very challenging to be setup due to its technical architecture. Basically GRC is doing an SPML call to an identity provider, which was setup in the VDS and deployed on a J2EE engine. Thus IdM was known to GRC as a kind of SPML destination. Maybe its still possible to be setup technically but it is not used by any customer I know, nor supported, means you do some custom implementation which you should try before you start a project (PoC).
Regards
Norman