This paper concerns the application of an iterated extended risk sensitive filter (IERSF) to target tracking problems. The relative merits of IERSF vis-à-vis the extended risk sensitive filter (ERSF) for a bearings-only tracking problem using root mean square error (RMSE) and robustness with uncertainty in initial condition are explored. An ERSF weakness, specifically an accumulation error in the computation of innovation steps due to approximating nonlinear functions at a recently available prior estimate, is presented. By using the IERSF with proper tuning of risk factor and local iteration, the filtering divergence may be overcome, and a stable, robust, and unbiased estimation is satisfactorily obtained. With numerical simulation results, the tracking performance of IERSF is compared with the performance of ERSF and extended Kalman filter. The IERSF results in reduced estimation error without much of an increase in burden of the associated computational algorithm.