One of the best ways to develop risk awareness is to learn from others' mistakes. The Wheel of Misfortune contains instructive case studies of a dozen infamous financial disasters.
Each case study includes a description of the event, an analysis of what happened and exactly what went wrong, and the risk management lessons to be learned.
Your organization could do the same by creating a learning tool for existing and new employees. After all, the best way to keep awareness at a high level is to consistently place reminders about lessons learned.