At which point of time in project management can we regard that risk management is completed?

At the end of project.

When project is closed out and lesson learned has been communicated.

Risk management is an ongoing process. Your question is not clear. However, I would answer from a lender bank perspective. When a project repay loan as per agreed terms , then risk management is completed in respect of that project for the lender bank. As there is no more any exposure, hence no risk and no need of risk management