In the new stage of globalization driven by digitalization and the Belt and Road Initiative, digital multinational enterprises face new and complex financial risks such as exchange rate fluctuations, data compliance, and cross-border capital flows, challenging traditional static risk management paradigms. Existing research often treats risk management as an adjunct to corporate internationalization or organizational resilience, failing to focus on its dynamic evolution mechanism as a core function. Therefore, this study, based on dynamic capability theory, aims to reveal how digital multinational enterprises evolve their financial risk management systems through a capability cycle of “perception-capture-reconstruction”, driven by both digital technology and strategic orientation, and to explore the moderating role of complex scenarios such as the Belt and Road Initiative. This research aims to expand the application scenarios of dynamic capability theory and provide a theoretical basis and practical guidance for enterprises’ global risk governance.