Data processing middleware for banking risk is a high-level application middleware mainly using data mart technology to support the supervision system of banking risk. This paper firstly discusses the objective reasons for proposing the DPMFBR and the significance of studying it, then builds out the architecture of middleware system, gives a detailed description of the major functional modules, and focuses on designing the front-end and back-end application service interface. At last, an example of application of middleware system is given. Middleware system refines and packages the same logic of data processing for banking risk and provides a unified service interface and platform for various front-end risk management applications. It can greatly shorten the development cycle of banking risk management system and reduce the development costs.