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The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analysed in the context of portfolio selection and how to apply this optimization for hedging a portfolio consisting of different types of ancillary services.