What Are the Main Non-Market Risks That an Arbitrageur Still Faces?

The main non-market risks are counterparty risk, execution risk, and liquidity risk. Counterparty risk is the chance that the other party to the trade (e.g. the exchange or clearing house) defaults.

Execution risk is the risk that the simultaneous trades cannot be executed at the desired prices due to technical issues or latency. Liquidity risk is the inability to close out the positions at a reasonable price, especially in less liquid futures markets.