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 duration. All non fixed income securities will bucket their risk into "other"
The modified duration for each security is calculated and then we aggregate and label positions according to:
|0-1 yrs||< 1 years||short dated|
|1-3 yrs||from 1 to 3 years|
|3-5 yrs||from 3 to 5 years|
|5-10 yrs||from 5 to 10 years|
|10-20 yrs||from 10 to 20 years||long dated|
|other||n/a||not a fixed income security|
These labels appear on certain templates that aggregate risk per duration.