The relationship between the risk and the profit of commercial banks is an important subject worthy of studying in the macro-background of interest rate marketization and financial reform in China. Based on the model of market maker, this paper analyzes the impact of bank interest rate risk and default risk on net interest margin. Furthermore, based on the financial data of China’s 16 commercial banks from 2008 to 2015, the construction of interactive model and non-linear dynamic panel threshold model, the existence and mechanism of the non-linear relationship between the two are analyzed. The study finds that there exists non-linear relationship between interest rate risk and net interest margin, between default risk and net interest margin, which represents inversed “N” and inversed “U” respectively.