This paper mainly discusses the financial innovation and risk management of Guangdong Free Trade Zone under the capital account openness. First，the thesis gives the two theoretical bases. One is the theoretical research on the relationship between capital account openness and domestic interest rate，exchange rate and financial market reform，the other is the theoretical basis on the core principle and the core measure of financial risk management. Secondly，summarizes a series of financial system and policy arrangements given by the government，which is an important basis for capital account openness and financial innovation. Then，points out that the foundation of financial innovation is set up separate accounting unit and Free trade account，and gives the feasible and specific financial innovation direction. Finally，the paper discusses the risk types of financial innovation and how to manage risk in the context of capital account openness.