This study aims at identifying sources of risks for corporate bankruptcy models. The applied research method includes the presentation of conditions for the bankruptcy phenomenon to occur in an unstable economy, the analysis of differentiation between the predictive capability of early warning models, and the recognition of risks related to these models. Three major types of risks of corporate bankruptcy models have been distinguished. Firstly, the risks of these models arise from the uncertainty of reliability of financial statements, inter alia, interfering with information, and difficulties in measurement of some financial categories. Secondly, the risk arises from the constraints related to the design of these models, inter alia, being the adopted assumptions, sampling and bankruptcy predictors. Thirdly, the risk of models pertains to the conditions of their practical applications, inter alia, there are cases of their limited comprehensibility, a high volatility of business environment, and the impact of non-conventional bankruptcy factors.