The risk factor is the main reason for the reserve of the power system, and it is an important step to promote the reform of the electricity market by fair and reasonable sharing on reserve costs among the risk parties. Distinguishing reserve capacity from spare power, a capacity cost allocation model based on conditional reserve at risk (CRaR) is established by analogizing the conditional value at risk (CVaR). The model takes into account the effect caused by the skewness of the probability distribution on risk factor and establishes a power cost analysis model based on the principle of “who cause, who share”. The integrated use of these models can scientifically achieve the share of the positive and negative reserve costs respectively. Finally, the simulation analysis of modified IEEE30 nodes is carried out to verify the effectiveness of the model. This work is supported by National Natural Science Foundation of China (No. 51277059).