Changing environment, increasing complexity of financial markets, global crises and expanding role of pension funds in the financial systems encourage supervisors of pension funds’ to apply new regulatory requirements so that to ensure proper management of all risks and to provide secure sources of retirement income. The Baltic States have not adopted such a structured risk based supervision model, though it becomes very important. The aim of this study ─ to evaluate the formation of factors motivating the adaptation of risk based supervision in the Baltic States and the application opportunities of the main risk based supervision constituents’ in Lithuania, highlighting differences and similarities with the present regulatory system. In order to achieve this aim, the first part of this study reviews the theoretical aspects of the risks’ supervision of pension funds. In the second part, the research methodology of risk based supervision in the Baltic States is described with the analysis of Lithuanian, Latvian and Estonian pension funds’ and their supervision. The third part studies the application of risk based supervision in the Baltic States. The research confirms the first hypothesis concerning the formation of factors motivating the adaptation of risk based supervision in the Baltic States. The second hypothesis, which states that the adaptation of risk based supervision would tighten all the Lithuanian regulatory requirements for risk management architecture, solvency standards, risk scoring systems, market based discipline, internal structure of the supervision agency, is denied. Yet, the application of the new model in the Baltic States requires appropriate changes, especially in Lithuania. The experience of the pioneers’ of the pension funds’ risk based supervision and external institutions can help Baltic States to do this.