How the micro-agent effectively exerts its risk control ability has always been a research focus． There are plenty literatures which have made empirical studies concerning the performance of financial holding companies from the viewpoints of both economies of scale and economies of scope． We have found few literatures digging into the risk management mechanism of financial holding companies from the perspective of control rights allocation． Based on the control rights allocation theory in organizational design and the incomplete contract theory，we construct a risk control rights allocation model of the financial holding companies and study the functions of the micro-agent’s behaviors in risk management． The analysis shows that: when confronted by internal and external risk shocks，the financial holding company could diversify and transfer the risk，enhance the risk control ability and improve the return by decentralizing or centralizing the risk control rights． To validate the above conclusions，we select the sample data of Chinese financial holding companies and individual banks during the financial crisis and make an empirical comparison of their risk and return performances． The empirical results show that the profitability of financial holding companies is significantly higher than that of individual banks; their risk level is lower than that of individual banks． In addition，we study the time-varying effect of the financial crisis on the sample companies，and the results confirm the impact of the financial crisis on China’s financial sector．