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it's obviously not setting the change_risk_status to the new "02 At Risk" status for all applicable records in the table... just the calculated field.
How do I get the original change_risk_status value updated?
As a preliminary suggestion, if the list of values to check for the "Not In" statement are the field [StatusCode] in a table (tblCodes) you could have:
Not In (SELECT [StatusCode] FROM tblCodes)
In this way you could add to or revise the values without having to hard code the expression.
One thing I notice is that you are setting the value of a calculated field [change_risk_status] to itself if the criteria are met. If this works at all, I don't see how it will produce a meaningful result.
Are change_risk_status and change_status supposed to be the same field?
To update you would need an update query, but I am not entirely clear on the update you wish to perform. You mention "all applicable records", but I don't see what designates an applicable record.