This paper develops a Failure Mode, Effects and Criticality Analysis (FMECA) for a heating, ventilation and air conditioning (HVAC) system in railway. HVAC is a safety critical system which must ensure emergency ventilation in case of fire and in case of loss of primary ventilation functions. A study of the HVAC’s critical areas is mandatory to optimize its reliability and availability and consequently to guarantee a low operation and maintenance cost. The first part of the paper describes the FMECA which is performed and reported to highlight the main criticalities of the HVAC system under analysis. Secondly, the paper deals with the problem of the evaluation of a threshold risk value, which can distinguish negligible and critical failure modes. Literature barely considers the problem of an objective risk threshold estimation. Therefore, a new analytical method based on finite difference is introduced to find a univocal risk threshold value. The method is then tested on two Risk Priority Number datasets related to the same HVAC. The threshold obtained in both cases is a good tradeoff between the risk mitigation and the cost investment for the corrective actions required to mitigate the risk level. Finally, the threshold obtained with the proposed method is compared with the methods available in literature. The comparison shows that the proposed finite difference method is a well-structured technique, with a low computational cost. Furthermore, the proposed approach provides results in line with the literature, but it completely deletes the problem of subjectivity.