At present, letter of credit (L/C) settlement is one of the widely-adopted settlement methods for many Chinese enterprises in the international trade process. How to assess the L/C settlement risk with high accuracy, and to enhance the risk bearing ability of these enterprises, becomes an urgent problem. Based on the incomplete information, and combined with the MKV risk assessment method, the national risk rating method as well as the FAH comprehensive assessment method, this paper assesses the L/C settlement risk with high accuracy by means of fuzzy probability. The paper finds out a better decision-making method under the guidance of the Bayesian game theory, hoping to help Chinese enterprises make their international business decisions in a more scientific and reasonable manner.