Considering the significant cross-national differences between tax systems, multinational banks are facing a challenge to secure compliance with the tax regulation of each country. In this regard, multinational banks tend to minimize tax risk exposure and the probability that national tax authorities will consider certain tax treatment as illegal. The paper studies the main sources of tax risk for subsidiaries of multinational banks in Serbia. It is pointed out that banks are facing important challenges to secure compliance with the tax regulation, particularly value-added tax and corporate income tax regulation. The paper also shows that subsidiaries of multinational banks in Serbia and neighboring countries disclose the information on the tax risk in notes to the financial statements only to a moderate extent. In addition, multinational banks disclose information on tax risk using different models in different countries, implying that they adapt the disclosure to the assessed level of the tax risk in each country.