As the growth of the e-commerce industry intensifies the conflict between shadow economy actors and risk management teams, we propose the SHERLOCK framework, which leverages the inference capabilities of large-scale language models (LLMs) to support risk analysis. This framework extracts risk management knowledge from multi-modal data, builds a domain knowledge base (KB), and builds an intelligent platform that integrates operations, expert annotations, and model evaluation based on the data flywheel paradigm. It also introduces the Reflect & Refine (R&R) module to establish a rapid response mechanism to evolving risk patterns. Experiments on JD.com's real-world transaction dataset demonstrate that SHERLOCK significantly improves the accuracy of fact alignment and risk location in LLM analysis results. Deploying the SHERLOCK-based LLM system on JD.com significantly enhances the efficiency of risk managers' case investigation workflows.