Margin at risk
The Margin-at-Risk 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, but instead of the EBIT it is a quantile of the cash flow distribution.Description
A MaR requires a currency, a confidence level and a holding period.
The idea is that a given portfolio loss will be compensated by a margin call by the same amount.
The MaR quantifies the "worst case" margin-call and is only driven by market prices.
