To address decision-makers' bounded rationality, a behavioral finance theory (BFT) is introduced in the integrated supply chain (ISC) risk management system. Authors not only describe, under the riddle of Friedman and Savage, the pyramid structure of ISC risk manager's mental accounts, but also explain the empirical abnormity phenomena in ISC. Authors, based on the pyramid structure of mental accounts, have modified the traditional credit default swap (CDS) risk transfer model without risk attitudes. An ISC risk transfer model, with multiple mental accounts as its core, is also established under the behavioral portfolio theory and based on BFT and CDS. As the hypothesis of bounded rationah'ty is well in line with the risk management mentality in practice, the new model has advanced a step closer to reality, as compared with traditional risk transfer analysis approach.