Margin at risk
From Infogalactic: the planetary knowledge core
The Margin-at-Risk (short: MaR) is a quantity used to manage short-term liquidity risks due to variation of margin requirements, i.e. it is a financial risk occurring when trading commodities. Similar to the Value-at-Risk (VaR), but instead of the instead of the EBIT it is a quantile of the (expected) cash flow distribution.
Description
A MaR requires (1) a currency, (2) a confidence level (e.g. 90%) and (3) a holding period (e.g. 3 days). The idea is that a given portfolio loss will be compensated by a margin call by the same amount.[1] The MaR quantifies the "worst case" margin-call and is only driven by market prices.[2]
