Russia's financial risk is remarkably rising due to the international sanctions, oil price dropping, rouble’s depreciation as well as the flowing-out of capitals. ANBOUND research team warns that China should try to avoid being dragged into the mire, though being a comprehensively strategic partner with Russia. Even though strategic cooperation is important, an enough high firewall is also needed. It is not more than a decade since Russia defaulted its debts and China should learn a lesson from it.