The banking industry with commercial banks as its main is often the source of the financial crisis. The paper fo-cuses on the commercial banks in China, selects 14 early risk warning indicators from the four aspects of macroeconomic, in-ternational shocks, asset bubbles and banking system, combines with the respective advantages of Analytic Hierarchy Pro-cess (AHP) and entropy method, applies the comprehensive weight of AHP-entropy method to build the financial risk warn-ing index system of China’s commercial banks. The paper makes an empirical test on the risk situation of China’s commer-cial banking system. The results from the test show that China’s commercial banks as a whole are in safety, but the finan-cial risk emerged in specific years. The results also make known that the probability of potential crises in China’s commer-cial banking system because some of financial risk warning indicators have seriously deteriorated and been in risk area. It al-so reflects that the accuracy of the AHP-entropy method empowered to build risk warning indicator system, and provides sci-entific and effective reference for risk management of commercial banks.%以商业银行为主体的银行业往往是金融危机爆发的源头，文章以我国商业银行为研究视角，从宏观经济、国际冲击、资产泡沫、银行体系四个方面选取14项风险预警指标，结合AHP和熵值法赋权的各自优势，采用AHP-熵值法综合赋权构建我国商业银行风险预警指标体系。运用2003-2012年数据对我国商业银行体系风险状况进行实证检验，结果表明：我国商业银行整体在基本安全下运行，个别年份出现金融风险，且其中一些金融风险预警指标发生严重恶化，处于危险区域，揭示了我国商业银行体系具有潜在发生危机的可能性，体现了采用AHP-熵值法综合赋权构建风险预警指标体系的准确性，为商业银行风险管理者提供科学、有效的决策参考。
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