Failure of finisher missing header (5)
I believe the answer is:
loser
'failure' is the definition.
(someone who has failed)
'finisher missing header' is the wordplay.
'finisher' becomes 'closer' (something which closes or finishes).
'missing header' means to remove the first letter.
'closer' with its initial letter taken off is 'LOSER'.
'of' is the link.
(Other definitions for loser that I've seen before include "Unsuccessful contestant" , "Non-achiever" , "One who is always a failure" , "One frequently failing" , "Roles for the defeated" .)