I have Active Directory Certificate Services on my server, which makes it possible for me to deliver an SSL certificate for the websites hosted on the same server.
I know that normally, I need to acquire a certificate from a known certification authority. But I have my reasons¹ for not doing it. That's not the point.
The question is, what could be (if any) the security risk of hosting the certificate yourself, instead of using the services of a known authority?
¹ The reasons being that (1) I'm a geek and it's fun to create your own certificates, that (2) I want to test Certificate Services, and that (3) I don't care about browsers complaining about the fact that they don't know about me, because I will be the only one to use HTTPS.