You need to have the role "Risk Manager" to create a new entity.
Entities are created to allocate different part of the risk directory to different entities. The risk directory is the overview of the entire organization, but not all entities have all risks. Some entities might not have a sales or production department i.e.
To create an entity, click on “Risk management” in the left menu. Then click on “Create entity” under the entities tab. Provide a name and description and click, and give users access with either responsible, edit/view, or view. Click “Save” to save your entity.