The paper discusses risk of mortgage loan financing. Two basic financing structures are considered: mortgage loans and mortgage backed securities, including covered bonds. Three main types of risk are covered: credit risk, interest rate risk and property price risk. For each type of risk different risk measures are discussed. Then the aggregate risk measure is derived. The second part of the paper contains the overview of different hedging instruments used in mortgage loan risk management. The third part of the paper discusses the issues of risk of mortgage backed securities, including subprime loan crisis.