In general, airline alliances don't rescue troubled members. The latest examples of alliance members which went bankcrupt include JK (*A) and MA (OW) - but more prominent examples include the former Brazil flag carrier and founding member Varig (*A). So don't expect them to get rescued.
The FFP usually goes down in case of bankcruptcy. Exceptions are possible where it is outside the corporate structure - but the only notable example I'm aware of is Aeroplan. All others, including A3, are within corporate structure and would go down in a bankcruptcy.
As others mentioned, there are usually some status match offers by other alliance members - but clearly not by all of them. So your choice in respect of status match may be fairly limited.
The risk in the case of A3 is quite hard to assess. It is owned by Greek family corporations, who don't disclose any financials. Also A3 itself doesn't provide full financial statements. Unless you are an insider, you'll never know ... until it's too late.