It is of great significance for enterprises to manage their own financial risks, which affects the sustainable development directly. This paper is to analyze the financial risk of the company based on the financial indicators of China's listed companies under special treatment in 2015. At first, utilize the association rules and preprocess the financial data, then Dig out the rules hidden in the financial indicators, at last select a higher representative financial indicator and pre-warning the financial risk. Empirical analysis shows that: there is always some financial indicators when the listed company was in financial crisis. Their movement has a direct impact on enterprise financial risk. By analyzing these indicators, the listed companies financial risk can be early warned and prevented.