The global economic meltdown caused by the subprime mortgage crisis in the United States in 2007 along with its subsequent adverse effects on the economy, financial participants around the world, have raised questions on the effectiveness of the financial risk management policies adopted by financial institutions and banks worldwide. This study focuses on the analysis of the risk management framework and its efficiency in the Mauritian banking sector. Panel regression and Non-parametric regression Lowess Smoother methodologies were employed in measuring the impact of the various financial risks on the efficiency of risk management of a sample of ten Mauritian banks over a period of eight years. The dependent variable selected to measure risk management efficiency is the Capital Adequacy Ratio (CAR). On the other hand, the financial risks indicators are the credit risk (CRisk), liquidity ratio (LQR), interest sensitivity ratio (ISR) and foreign exchange risk (FER). Both the parametric and non-parametric regressions indicate that the risk variables are significant and have a positive relationship on risk management efficiency. A dual approach has been employed through the administration of a survey to gauge into the perspectives and practices adopted by Risk managers in banks. Moreover, the findings obtained from the survey substantiated the main results. The methods used by the Mauritian banks and the importance of the Basel principles for effective risk management were also revealed by the questionnaires.