A well-known bias in risky decision making is that most people tend to be risk averse when gains are salient but risk seeking when losses are salient. The present study addressed the neural dynamics of this process by recording ERPs during a gambling task in a gain and a loss context. Behaviorally, participants were found to be risk averse in the gain context but risk neutral in the loss context. During the anticipation stage, an increased stimulus-preceding negativity was elicited by high- versus low-risk choices in the gain but not the loss context. During the outcome-appraisal stage, the feedback-related negativity was larger after high- versus low-risk choices in the gain instead of the loss context. For the P300, an outcome valence effect (a larger P300 for gain vs. loss outcomes) emerged following the high- versus low-risk decisions in the gain but not the loss context. Our findings suggest that risk processing can be modulated by the context of valence during the anticipation stage and by both the contextual valence and the outcome valence during the outcome-appraisal stage, which may be driven by the motivational salience imposed by the context of valence.