Financial organizations can no longer ignore the problem of managing risk. As a component of the financial system, efficient Financial Risk Management (FRM) may significantly affect business results. These findings show that the triangular neutrosophic numbers simulate capital asset key metrics. Performance metrics for capital assets may be modeled using this kind of value by accounting for all conceivable outcomes for their attainment. The profit on capital instruments, the risk of financial investments, and the covariance of capital instruments are the Key Performance Metrics (KPIs) modeled using triangular neutrosophic values. Specifically, this research employs two techniques. Prioritizing parameters for financial risk management dimensions using the Analytic Hierarchy Process (AHP). Second, the performance evaluation of financial risk management was evaluated from the perspective of several groups of specialists by the COCOSO method to assess the ranking of possible replies further. By using the presented method, we may better identify where to put our efforts and how to allocate our resources for greater effectiveness in managing financial risks.