In most projects the conditions for failure are established at the beginning of the project. Thus risk management should be established at the commencement of the project with a risk assessment during project initiation.
As it is clearly stated in the ISC2 book: Security should be included at the first phase of development and throughout all of the phases of the system development life cycle. This is a key concept to understand for the purpose for the exam.
The most useful time is to undertake it at project initiation, although it is often valuable to update the current risk analysis at later stages.
Attempting to retrofit security after the SDLC is completed would cost a lot more money and might be impossible in some cases. Look at the family of browsers we use today, for the past 8 years they always claim that it is the most secure version that has been released and within days vulnerabilities will be found.
Risks should be monitored throughout the SDLC of the project and reassessed when appropriate.
The phases of the SDLC can very from one source to another one. It could be as simple as Concept, Design, and Implementation. It could also be expanded to include more phases such as this list proposed within the ISC2 Official Study book:
Project Initiation and Planning Functional Requirements Definition System Design Specification Development and Implementation Documentations and Common Program Controls Testing and Evaluation Control, certification and accreditation (C&A) Transition to production (Implementation)
And there are two phases that will extend beyond the SDLC, they are:
Operation and Maintenance Support (O&M) Revisions and System Replacement (Disposal)
Source: Information Systems Audit and Control Association, Certified Information Systems Auditor 2002 review manual, chapter 6: Business Application System Development, Acquisition, Implementation and Maintenance (page 291). and The Official ISC2 Guide to the CISSP CBK , Second Edition, Page 182-185