Climate change risks arise from the interaction of climate-related hazards (extreme weather/climate events) with the exposure and vulnerabilities of human and natural systems. Based on multi-source climate and socio-economic data, the nonlinear regression method and Copula function were used to identify the impacts of single-hazard extreme events and multi-hazard compound events, and to analyze the risks of extreme events such as drought, heatwave and flood during the global warming of 1.5°C and 2°C. Combined the three-factor (hazard, exposure, and vulnerability) climate change risk assessment methodology, the socio-economic risk of extreme events, integrate risk of risk-bearing bodies (i.e., population, economy) were quantitatively assessed.