Risk Management is application of proactive strategy to plan, lead, organize, and control the wide variety of risks that are woven in the fabric of an organization in its daily and long-term functioning. Risk management is an activity which integrates identification, assessment and /or measurement, developing strategies to manage it, and mitigation of it using managerial resources. Present paper is an attempt to identify the risks faced by the Banking Industry and technique employed for risk management. This paper also examines different techniques adopted by Banking Industry for risk management. It also dwells on various techniques in vogue in Banking Industry such as Gap Analysis, Risk Rating Model, Value at Risk, Loan Review Mechanism, Risk Adjusted Rate of Return on Capital etc., for reducing and mitigating risks. Finally it has been concluded that Banks must take calculated risks, exercising caution and anticipating changes that may happen due to political, natural and manmade disturbances.