Clearing houses lack the necessary data and research to accurately assess default losses and auction risks, a senior quant with the Federal Reserve Board has warned.

Travis Nesmith, section chief for quantitative risk analysis at the Fed, expressed concern that existing risk models used by central counterparties (CCPs) are unable to accurately capture conditional loss distributions in the event of a member default.

"We don't have counterparties defaulting every day so we don't see what those