With the development of international financial market and the transformation of international active banks,banks want more advanced risk management skills. The New Basel Capital Accord will be the sign of the coming of Enterprise-wide Risk Management (ERM) era. The paper sets up ERM system in banks consisting of eight modules. Based on the actualities of Chinese commercial banks, the paper points out some major barriers to construct ERM in Chinese commercial banks. At last,the paper puts forward suggestions on how Chinese commercial banks set up ERM framework.