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

See also 
 Liquidity at risk
 Value at risk
 Profit at risk
 Earnings at risk
 Cash flow at risk

References 

Mathematical finance
Financial_risk_modeling
Monte Carlo methods in finance
Credit risk