How is risk aggregated by Duration

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:

Label	Duration	Meaning
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.