In the wake of the 2007–2009 financial crisis and subsequent financial services scandals, there are numerous normative and regulatory demands on risk managers to assess the ethicality of corporate plans and actions. An ethical turn in risk management looms, focusing the attention of boards and executive teams on a plurality of ValueS at Risk, rather than on a single or composite—and primarily financial—Value at Risk. The controller’s question of what risks an organisation is running is increasingly seen as intertwined with the ethical question of whose risks an organisation is managing—or even taking into account—a discussion that needs to be addressed in what Power (AOS, 2009) conceptualised as the “risk appetising process”. Based on a longitudinal case study conducted at a Canadian electric utility, I show empirical evidence that some risk managers have created tools and processes that tangibly link risk management and business ethics. Drawing on the literature of behavioural ethics, I outline a conceptual framework that also links risk management and business ethics. I conclude that an ethical turn in risk management will require the ability to bring the ethical dimension to the fore by making ValueS at Risk graphically visible as part of strategic decision-making and formal control processes.