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On the Settings page, click on Risks in the left-hand navigation panel and click on Risks in the center of the page to go to the Risks configuration area. Then click on the + sign to add a single risk object.
Fill in the fields and click Save.
Or, to add multiple risks at once, use the Upload CSV button.
Be sure to download and use the CSV template from the link on the upload dialog.
See also: Working With Risks