The evolution of the current industrial context and the increasing of competition pressure led the companies to adopt new concepts of management. In this context, we have recently proposed an integrated management system including Quality, Environment and Safety management systems [1] using the risk management as an integration factor. This paper proposes an implementation of the most important part of the plan phase, consisting in analyzing and selecting the most critical risks regarding all QSE objectives. To this end we propose to adapt the well known risk management approach Fuzzy Failure Mode and Effects Analysis (FMEA) in order to define for each risk a multi-leveled Risk Priority Number relative to different QSE objectives. Then, to select the most critical risks we propose to use a multicriteria approach which is the Analytic Hierarchical Process (AHP) in order to take into consideration the different values relative to each risk.