The paper presents the results of research entrepreneurial risk in the activity of subjects small and medium entrepreneurship. As the information base used data of Federal service of state statistic and Federal tax service. Proposed indicators and methodology for assessing current levels of risk in different sectors and regions of the Russian Federation. Made the calculations of acceptable and critical risks of pools small and medium enterprises, specialized on the 13 main types of economic activity. Developed economic-mathematical models describing patterns of differentiation catastrophic risk on entrepreneurial structures located in the regions of the country. Identified types of economic activity of high and low values the level of acceptable and critical risk. It is shown that the current level of catastrophic risk in the activity of individual entrepreneurs is significantly higher in comparison with law enterprises. Given the lists of regions with high and low levels of catastrophic risk in the activities of entrepreneurial structures. Considered a comparative analysis of the average values of catastrophic risk in Russia and abroad. Scientific novelty of the research associated with the development of methods and procedures for assessment of levels entrepreneurial risks proposed criteria for classifying activities of entrepreneurial structures for three levels of risk, rationale for the estimates and the present values characterizing admissible, critical and catastrophic levels of risk. The obtained results will be useful to begging entrepreneurs to assess the risks that may arise in the course of activity. The results of the research can be used to develop business development strategies in different regions and sectors of the national economy.