Privacy risk is the potential harm to the rights and freedoms of the natural person. Now, if you come from an IT background and have an IT hat you can be forgiven in thinking that privacy risk is about a personal data breach or about the fact of protecting the organisations personal data. But it is not, it is do with the harm to the rights and freedoms of the natural person. It is really important that this is not to do with loss of data, we are looking here at human rights. If personal data is lost it can present a risk to an individual's reputation and this is not physical harm, this is some kind of psychological harm and can impact their rights and freedoms.
What is not explained well in this recording, is that it is any risk of harm, both physical and other harms.