Now's when we need our old thread "All About Hormones"
In any case, there are quite a few risks with HRT, the most important one being the workload on the liver. The liver has to process all the extra hormones, often more than once depending on the application of hormones you are using. To make a long story short, overloading the liver can result in some very unpleasant health problems, seeing as how the liver is the main organ for detoxifying the body.
So, is HRT safe? Only under extremely meticulous supervision.