The primary risk faced by Vesper pools is a 'black swan' event, where a pool's underlying asset sees a rapid flash crash. In extreme cases, the debtor will not be able to modify their loan fast enough to avoid liquidation. This is a broader risk that affects DeFi lending protocols as a whole.
In the worst case scenario, a partial liquidation is enforced by the lending protocol. For example, Maker currently carries a 13% fee on the capital liquidated. This would reflect a loss to pool participants.
Vesper pools rebalance their loans algorithmically along parameters specified by each pool. Conservative and Aggressive pools are differentiated by the benchmarks used to take additional loans (when sufficient capital is deposited or the underlying asset appreciates) and partially refund outstanding loans (when capital is removed or the underlying asset depreciates). In this sense, users can further mitigate the risks outlined above by electing to participate in Conservative variants of each pool. (Note that only Conservative pools will be available at the beta launch, with more pools following.)
This risk is further mitigated by the stablecoin offerings. There is no 'volatility' risk with stablecoins apart from the doomsday scenario in which they lose their peg. Such an event would be wholly unrelated to the Vesper ecosystem.
Medium-risk pools only interact with Maker and Aave (and possibly Compound), but high-risk pools may interact with Yearn vaults or directly with other yield farming protocols. These funds are at risk if those protocols are exploited or hacked.