Financial risk is a subject that receives the attention of researchers, business managers, and policymakers because of its impact on the existence and development of businesses. The study was conducted to provide empirical evidence on the factors affecting the financial risk of enterprises in the context of emerging and developing economies. The quantitative method based on the S-GMM model was used for regression analysis to overcome endogenous problems in the multivariate regression model with financial variables, with a sample of 509 listed non-financial enterprises, with 3,054 observations in the 2007–2018 period in Vietnam. The results show that profitability, current solvency, financial structure, cost management, and firm size influence financial risk for listed enterprises in the sample. Financial leverage and firm size were found to have a positive influence on financial risk, and the other factors negatively affect financial risk. The study also examines the influence of several factors related to business performance and growth in relation to risk. Based on these findings, some policy implications are proposed on corporate governance related to the use of financial leverage and cost management so that enterprises can develop sustainably and avoid financial risk.