There are two primary areas of risk in the Maple protocol: smart contract vulnerabilities and loan defaults.
Smart contracts increase their risk profile with the amount of value they hold. The Maple team takes this threat very seriously and has deeply audited the protocol code both internally and externally with security firms Peckshield and Dedaub. You can find both audit reports in this repo.
Undercollateralized lending by nature carries a risk of defaults. Traditionally, lenders take borrowers through an underwriting process to mitigate this risk. Lending protocols available in DeFi today ,such as Aave and Compound, require overcollateralization in order to prevent defaults from occurring.
The Maple protocol enables more capital efficient, undercollateralized lending to occur by allowing pool delegates to use their own underwriting system in determining the credit worthiness of borrowers. Delegates and their method for determining credit worthiness are carefully evaluated by the Maple governance process.