In the traditional regulated electricity industry， as the electricity price is stable and predictable， the electricity market risk management is relatively simple. In the competitive electricity market， the uncertain electricity price and trading volume forced the electricity market participants to face the electricity market risk. The sources， measure and management tools of electricity market risk under the circumstance of mature competitive electricity markets abroad are analyzed and it is suggested to take conditional cash flow at risk（CCFaR） as the proper electricity market risk measure. An electricity market risk model under the competitive electricity market is presented， and through the sample of a typical electricity utility， the characteristics of the electricity market risk and the role of the electricity derivatives trade in the electricity market risk management are analyzed. The real asset and electricity derivatives investment portfolio optimization problem are also studied and the efficient frontiers of the sample company under different market conditions are calculated. Finally， the electricity market risk management and portfolio optimization strategies in competitive electricity market are summarized.