Abstract: Timely warning, preventing and resolving regional financial risks are of great significance to maintaining the stability of the financial system and promoting the sustainable and healthy development of regional economy. Therefore, it is necessary to build a financial risk monitoring index system to detect financial risks. Based on the classical financial risk theory, this paper constructs a regional financial risk monitoring index system from three aspects: macro-economy, regional economy and regional finance; and conducts an empirical test on the system with relevant data of Sichuan province. The results show that the regional financial risk monitoring index system can measure well the regional financial risks. This paper also puts forward relevant countermeasures and suggestions for Sichuan to strengthen financial risk prevention in accordance with the empirical research results.