A risk is an action that holds a chance of danger or failure. Although it's fun jump around on glaciers, the risk of falling down a crack into a freezing lake might deter you from ice climbing.
Risk comes from the French for danger. As nouns, risk and danger are close synonyms. The verb risk means to run a danger, in hopes of reward. So risk is similar to gamble. If you're very ill, you might risk a dangerous surgery. We also use risk for money or security. You can risk your good health by working with infected patients without sterile equipment. Or you can risk your life savings on the stock market.