Risk in the context of this document is defined as marginal contribution to total portfolio risk (MCTR). Please read definitions here: Risk Attribution
Everysk always calculates MCTR per individual position. Then, we can aggregate according to various bucketing schemes, such as implied rating. All non fixed income securities will bucket their risk into "other"
The distance to default and corresponding probability of default (PD) are calculated for each security (see white paper for details). These PDs are interpolated in a table issued by Moodys, named:
Average Cumulative Issuer-Weighted Global Default Rates by Letter Rating, 1983-2015
Moody's table has letter ratings as rows and time to maturity as columns. Using the bond's time to maturity, we interpolate the PDs in the table over time to maturity columns. Then using the bond's PD, we find the letter rating in the rows:
| Label | Implied Rating | Meaning |
| Aaa | Aaa | better credit |
| Aa | Aa | |
| A | A | |
| Baa | Baa | |
| Ba | Ba | |
| B | B | |
| Caa-C | Caa-C | worst credit |
| other | other | not a fixed income security |
These labels appear on certain templates that aggregate risk per implied rating. Technical details can be found in the white paper