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. It is similar to the Value-at-Risk (VaR), but instead of simulating EBIT it returns a quantile of the cash flow distribution.
To do so, 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.