The core function of deposit money banks today is purely the efficient management of their risks portfolio investments in order to maximize shareholders’ wealth, by guaranteeing safety, returns on depositors’ funds and confidence in the system. The study empirically investigated the effects financial risks on the performance of deposit money banks in Nigeria. More specifically, changes in financial performance were examined on the basis of the relative effect of credit risk, liquidity risk, market risk, operational risk and bank size. The study specifically focused on 18 deposit money banks listed on the floor of the Nigerian Stock Market for a period of 19 years both statistical and econometric techniques were applied in the analysis of the data used in the study. Panel data analysis technique was used in the estimation of the specified model. The fixed effects being the best performing effect in the relationships was adopted in the empirical analysis. The findings of this study revealed that the combined effects of financial risks do not influence banks’ performance negatively. More specifically, the results from the empirical analysis revealed that financial risk proxy by Credit risk does not have any significant relationship with financial performance of deposit money banks in Nigeria. Liquidity risk is a significant determinant of deposit money banks’ performance in Nigeria in the period under investigation. The effect of market risk, interest rate risk and Operational risk did not in any way affect bank performance significantly in Nigeria.