This thesis examines various types of financial risk in the context of empirical economic research and discusses the potential interrelationship between these risks and various aspects of social or economic inequality. In particular, the need for appropriate risk management measures is emphasized to prevent or minimize negative effects of the two variables on each other. Exemplarily, important transmission channels between risk and inequality at micro- and macroeconomic levels are presented and positive effects through risk management measures at the individual, institutional, and governmental level are discussed. This cumulative dissertation contributes a total of eleven research papers on risk management issues -- ten empirical essays and a literature review. The geographical scope of this thesis is predominantly on highly developed industrialized countries. For this reason, sub-analyses are conducted for some of the world's leading economies: the United States, Germany, the United Kingdom, and selected European Monetary Union 'core' and 'non-core' member countries. Basically, the eleven modules are organized into four research clusters, based on different financial risks at micro- and macroeconomic levels:The first cluster shows linkages of risk and inequality within the German pension system. In particular, the invalidity risk and impending funding problems within the statutory pension system will be examined. (Module 1-2)The second cluster highlights inequality as a major driver of the Global Financial Crisis and emphasizes, in particular, the importance of a forward-looking risk management in the real estate sector. (Module 3-6)The third cluster discusses aspects of inequality in the European Economic Union, caused by different credit risks of the member countries in a simultaneous single monetary policy, focusing mainly on the period around the European Sovereign Debt Crisis. (Module 7-9)The fourth cluster presents some thoughts on the linkage between private insurance activity and inequality. (Module 10-11)In summary, this thesis illustrates the need for appropriate risk management to prevent inequality from rising due to higher financial risks (or vice versa). Since those dynamic developments are difficult to control by politics and regulatory authorities alone, the importance of research on risk management issues further increases -- in particular in times of deepening economic inequality.