The Margin-at-Risk (MaR) is a quantity used to manage short-term liquidity risks due to variation of margin requirements, i.e. it is a

financial risk Financial risk is any of various types of risk associated with financing, including financial transactions that include company loans in risk of default. Often it is understood to include only downside risk, meaning the potential for financi ...

occurring when trading commodities. It is similar to the Value-at-Risk (VaR), but instead of simulating EBIT it returns a

quantile In statistics and probability, quantiles are cut points dividing the range of a probability distribution into continuous intervals with equal probabilities or dividing the observations in a sample in the same way. There is one fewer quantile t ...

of the (expected)

cash flow Cash flow, in general, refers to payments made into or out of a business, project, or financial product. It can also refer more specifically to a real or virtual movement of money. *Cash flow, in its narrow sense, is a payment (in a currency), es ...

distribution. To do so, 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 ''Margin Call'' is a 2011 American drama film written and directed by J. C. Chandor in his feature directorial debut. The principal story takes place over a 24-hour period at a large Wall Street investment bank during the initial stages of the ...

by the same amount. The MaR quantifies the "worst case" margin-call and is only driven by market prices.

References

{{Financial risk Mathematical finance Financial_risk_modeling Monte Carlo methods in finance Credit risk

See also

References