AbstractThis paper employs the Conditional Value‐at Risk, largely used in financial risk management, to specify the power reserve capacity of a wind power plant (WPP) under a risk metric. Evidences are shown here that other popular, simpler measure, the Value‐at Risk, is inappropriate for that specification. Under this risk‐based reserve metric, two programs are approached to optimally distribute a reserve request in a WPP subject to a given confidence level in the commitment. The most exhaustive of the two is a two‐level formulation including a solution to the load power flow (LPF) in the WPP. By solving these two programs, for comparison with interior‐point and heuristic solvers, conclusions are drawn. Notably, that a Pareto optimality occurs for stringent reserve requests; that putting off‐line generators is financially more profitable than partial curtailments to respond to low reserve requests; and that in these cases accounting for losses through LPF‐based optimization seems unnecessary. Copyright © 2016 John Wiley & Sons, Ltd.