The article explores the possibilities of using Bayesian neural networks to model risks in financial markets. Financial markets are characterized by a high degree of uncertainty and complexity, in which traditional methods of risk analysis become ineffective. The author suggests using Bayesian neural networks, combining the flexibility of deep neural networks with the principles of Bayesian statistics, for more accurate risk analysis and informed decision-making in financial markets. The research materials and methods are based on data from publications of the Bank of Russia and the work of Russian scientists in the field of measurements based on Bayesian intelligent technologies. The results of the study show that Bayesian neural networks make it possible to effectively manage uncertainty in financial markets, given the complexity of the financial system, the lack of initial information and the competence of specialists. The uncertainty analysis process includes the stages of conceptualization, model development, information collection, quantification of uncertainty, and pooling of uncertainties. The authors emphasize that Bayesian neural networks have a number of advantages: constant updating of knowledge, the use of probability distributions and the assessment of the probability of scenarios. In conclusion, the author notes that Bayesian neural networks allow modeling risks in financial markets and assessing the level of uncertainty, being the basis for developing recommendations for making managerial decisions. The purpose of the study is to consider the possibility of using Bayesian neural networks to model risks in financial markets.