Filters whose name includes “Risk List” make use of lists that PayPal maintains. PayPal performs extensive statistical analysis of millions of e-commerce transactions to determine transaction data elements (for example BIN numbers or ZIP codes) that are statistically more likely than average to be correlated with fraudulent transactions.
Inclusion in a Risk List is not an absolute indication of fraud; it is only a statistical correlation that indicates that you should evaluate the transaction more closely (and in conjunction with other filters results for the transaction).