This paper approaches the corporate governance mechanism to study the impact of corporate governance factors on capital risk, credit risk, and liquidity risk in Vietnamese commercial banks. This approach divides corporate governance into internal mechanism and external mechanism. The empirical study investigates 26 joint-stock commercial banks in the period of 2009-2013. The empirical study indicates that board strengths, foreign capital, information disclosure, and stakeholder roles have significant impacts on financial risk management in the banking systems. The study result provides key indicators for policy makers to build corporate governance mechanism for the financial risk management in Vietnam banking system.