With the continuous development and improvement of the international financial market, financial innovation, as a new financial development mode, has gradually become another driving force to promote the healthy development of the financial industry. As an important part of the world financial market, financial innovation has been gradually popularized in China. While promoting the rapid development of China's financial industry, it is also facing new risks. However, this kind of risk is quite different from that of the traditional financial market, so it is difficult to meet the new challenges according to the past experience and means. This paper aims at combining the reality of financial innovation in China, under the guidance of relevant scientific theories, to conduct scientific discussion on financial risk management, with a view to reducing the risks existing in the financial market and promoting its healthy and stable development.