The purpose of this paper is four-fold: (1) to propose risk-irrelevance; (2) to advance a new concept "Firm Risk=Business Risk=Total Equity Risk+Total Debt Risk"to substitute for the traditional concept "Firm Risk=Business Risk+Financial Risk"; (3) to suggest better measures for business risk and financial risk; and (4) to prove the relationship between the risk of capital and the cost of capital. In addition to value and dividend irrelevances, risk-irrelevance is the third irrelevance. MM prove that in the MM world, V=E(EBIT)/p, i.e., value -irrelevance indicates that given firm assets and expected asset return, financing is irrelevant to firm value. Firm value is derived from asset return. Value-irrelevance amounts to return-irrelevance. Given value and return irrelevances, firm risk cannot be alone and must be irrelevant to financing, i.e., risk -irrelevance. To wit, the notion that firm risk increases with financing is inconsistent with the proposition of portfolio theory: "risk and return are positively related in the mean-variance framework." Risk-irrelevance and value-irrelevance go hand in hand. This paper extends the logic of value-irrelevance to firm risk and completes the systematic linkage among risk, return, and value. As a pie cannot be made distinct by the way it is sliced, firm risk also cannot be different by the way it is allocated. If taxes are incorporated, operaating loss carryback and forward is the upper bound for government to take firm risk if it is available. If not, risk-irrelevance remains true.