Based on the financial security index calculated in the method of principal component analysis, this paper applies the model of BP neural network to test the result and then puts forward the early warning of Chinese financial security position in the future. In addition, the article gives some following suggestions for the early warning of financial risks: we shall reform the current financial regulation model to adapt to the real demand of mixed operation; we shall build a suitable financial risks' early warning system for China's reality; and the current “one bank and three commissions” shall strengthen inter-departmental coordination and enhance the joint forces of financial regulation on the basis of constantly improving the regulation means and technology.