This is unlikely to be in style guides beyond the general advice on how to format quotations. So it's up to you how to format.
You certainly don't need punctuation for the repeated word, but you should consider the effect of punctuation.
If you don't use any kind of marking, the implication is that the characters are seriously considering a real risk: "Risk? What kind of risk?" This suggests that the character is interested in the risk and is somewhat concerned but not panicking. (Compare: "I went to the park and saw a dog." "What kind of dog?" That's a conversation about dogs.)
In contrast, quotation marks bring to mind scare quotes: they indicate some kind of skepticism or detachment from the term. "'Risk'? What kind of 'risk'?" suggests that the speaker doesn't accept there is risk, but is asking what the other character is talking about; or maybe thinks that "risk" is an understatement or otherwise a ridiculous term to use. ("I went to the park and saw a dog." "What kind of 'dog'?" That suggests the second person doesn't believe there was a dog.)
Italics have multiple functions. In fiction in speech they usually indicate emphasis (e.g. shouting), but in some contexts they can indicate detachment: identifying a concept under discussion; giving the name of an entity (e.g. a mathematical variable, a scientific symbol, a name/label); or a particular word being studied. Therefore "Risk? What kind of risk?" would most likely suggest emphasis of "risk" because there is a serious worry, although it might indicate that risk is a strange new concept just being encountered (similar to scare quotes). The interpretation will depend on how you use italics elsewhere.