Margin at risk

From HandWiki

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 EBIT it is a quantile of the (expected) cash flow distribution.


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]

See also


  1. Lang, Joachim; Madlener, Reinhard (September 2010). "Portfolio optimization for power pl ants: the impact of credit risk mitigation and margining". Institute for Future Energy Consumer Needs and Behavior - Working Paper (Aachen, Germany). Retrieved 1 January 2016. 
  2. Rösch, Daniel; Scheule, Harald (2013). Credit Securitisations and Derivatives Challenges for the Global Markets (2nd ed.). New York: Wiley. p. 286. ISBN 978-1-119-96604-3.