Institutions such as the European Commission (EC) are currently seeking to increase the transparency of the derivatives markets. This course of action includes in particular the installation of a centralized clearing entity and with this the obligation to clear all relevant financial...

The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio selection for power plants. We develop a model to estimate margining cashflows that is based on the clearing framework of the European Commodity Clearing AG (ECC), on stochastic...