The answer depends a bit on what we mean by a “bank” and “financial risks”. There are a variety of banks, from a community bank all the way to specialized investment banks. By financial risks we typically mean credit and market risk. Operational and misconduct risks can have big financial impact but are not linked directly with the financial positions taken by the bank in the form of loans granted or securities owned.
For a typical commercial bank the biggest financial risk is always credit risk: The risk that loans they make will not be repaid. Liquidity risk, which has been mentioned in another answer, is primarily a “knock-on” effect. If the market and depositors have concerns about the credit risk of the bank they might refuse to roll-over funding or withdraw deposits.