A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use of the methods is proposed. The correctness of the considered methods is numerically confirmed.
The problem of estimating the functional dependence of time series on the time index is considered in the case of short data samples. It is proved that empirical risk functional uniformly converges to the theoretical one in the case where regression functions can be approximated by finite-degree polynomials. An example of estimating the functional dependence for a class of trigonometric functions is presented.
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