Our research mainly focuses on the mechanism of traditional financial business innovation under the influence of Fintech and the new risk challenges posed by Fintech. Next, we focus on how to build a Fintech risk model based on a combination weighting approach. Our research discusses in detail the mechanism of financial business innovation from three aspects: how Fintech stabilizes financial markets, how it promotes financial equity, and how it promotes the development of financial inclusion. As for the risk challenges brought by Fintech, we analyze five aspects: technology risk, algorithm risk, industry transformation risk, speculative risk, and regulatory challenges. Finally, we summarize the Fintech risk assessment system based on the above analysis. Based on the summarized Fintech risk indicators, we constructed a Fintech risk model based on a combination weighting approach. This assignment model is based on the minimum discriminative information principle, which integrates fuzzy hierarchical analysis and the entropy method. We hope to analyze Fintech risk quantitatively through this model. And based on the relative size of the weights, we determine which risk is the highest and which risk is the lowest among the risk challenges posed by Fintech.