Margin at risk

Short description: Measure estimating potential margin shortfalls under adverse market moves

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 occurring when trading commodities. It is similar to the Value-at-Risk (VaR), but instead of simulating EBIT it returns a quantile of the (expected) cash flow 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 by the same amount.[1] The MaR quantifies the "worst case" margin-call and is only driven by market prices.[2]

## See also

* Liquidity at risk - Measure of potential liquidity shortfall in a financial portfolio
* Value at risk - Estimated potential loss for an investment under a given set of conditions
* Profit at risk - Risk management quantity used in electricity
* Earnings at risk - Estimate of the potential impact of market movements on a firm's earnings
* Cash flow at risk

## References

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). https://www.rwth-aachen.de/global/show_document.asp?id=aaaaaaaaaagvveh. 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. https://books.google.com/books?id=HYiB-mSkjWQC&pg=PA286.

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Financial risk and financial risk management

Categories|

| Credit risk|

* Concentration risk
* Consumer credit risk
* Credit derivative
* Securitization

|

Market risk|

* Commodity risk (e.g. Volume risk, Basis risk, Shape risk, Holding period risk]], Price area risk)
* Equity risk
* FX risk
* Margining risk
* Interest rate risk
* Volatility risk
* Liquidity risk (e.g. Refinancing risk)

Operational risk|

* Operational risk management
* Legal risk
* Political risk
* Reputational risk
* Valuation risk

Other|

* Profit risk
* Settlement risk
* Systemic risk

Modeling|

* Market portfolio
* Modern portfolio theory
* RAROC
* Risk-free rate
* Risk parity
* Sharpe ratio
* Sortino ratio
* Value-at-Risk (VaR) and extensions Profit at risk, Margin at risk, Liquidity at risk

Basic concepts|

* Diversification
* Expected return
* Hazard
* Hedge
* Risk
* Risk pool
* Systematic risk
* Financial law

* Financial economics
* Investment management
* Mathematical finance

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