In a recent paper, Christiano, Motto and Rostagno (2014, henceforth CMR) report that risk shocks are the most important source of business cycle fluctuations. This result is in contrast to much of the existing literature; e.g. Bachmann and Bayer (2013) report that risk shocks account for 4% of the volatility in GDP. We resolve this apparent contradiction by first highlighting that CMR depart from the normal definition of a risk shock by including an additional " component. We then incorporate their definition of risk shocks into a canonical financial accelerator model that does not include the array of rigidities (both nominal and real) that are in the model economy employed by CMR. In the base model, risk shocks as normally defined play a quantitatively minor role in business cycle activity; however, when the CMR definition is employed, we replicate their result that risk shocks are the most important impulse mechanism of business cycles. It is clear from this analysis that the endogenous amplification and propagation mechanisms in the CMR model do not account for the significant role that risk shocks play in fluctuations; rather, it is the exogenous definition of risk shocks that is doing virtually all of the work. We conclude that the CMR finding should be viewed with caution.