The models of non-cooperation and cooperative game between the manufacturer and retailer are established and solved, when the risks due to the exchange rate and final market demand volatility are pooled at the retailer. The results are obtained as follows. 1) Cooperation can raise the order quantity and exchange rate risk-hedging proportion, then realize the supply chain’s overall benefit maximization, and the bargaining power of both sides influences the distribution of overall benefit. 2) When the relative bargaining power is moderate, cooperation is a more effective risk management mode compared with non-cooperation. 3) The exchange rate and final market demand volatility influence the operation variable differently. 4) The strategy of risk pooling with cooperation is able to achieve a tradeoff between supply chain’s returns and risks.