The approach you suggested above is basically what you have to do.
The question is asking you to identify KEY risks associated with this new venture. Be careful of the word KEY here, it requires you to only think about major risks here. Make sure that you considered risks from different perspectives when answering. This is essentially the first step of the risk control cycle.
Then for each risk you identified, you need to apply the rest of the risk management control cycle to it. This involves:
1. Risk analysis: This might involve the consideration likelihood of this risk happening and its impact etc.
2. Apply risk control: typically consider any risk mitigation tools.
3. Consider finance related issues with the risk identified
4. Review and monitor experience on a regular basis.
The length of your answer should depend on the mark allocation, which also gives an indication of how detail you need to talk about for each risk.