With the continuous development and progress of social economy, people pay more and more attention to financial risks. Thus modern economy has close link with finance, and the One Belt and One Road is a new exploration of social economy. If the modern economy wants better development, One Belt and One Road construction should be brought into economic development. And it has a impact on trade financing and outward investment of enterprises. Therefore, if it wants to be carried out smoothly, the financial management mechanism should be improved. In this paper, a concrete analysis of the identification and supervision of financial risks will be made under One Belt and One Road construction.