The prevention of the state treasury fund risk is an important task for PBC, and is also the most important work of the state treasury. The paper analyses the current situation of risk management of the state treasury funds, from the new perspective of risk-related factors of American COSO risk management framework, the paper explores the effective ways to perfect the state treasury fund risk management mechanism from four aspects such as the state treasury fund risk management organization system, the state treasury fund risk measure, evaluation and control, building the state treasury fund risk management monitoring system, and building the state treasury fund risk management resources sharing mechanism.