Due to the uncertainty of factors such as market price, self-provided power plant enterprises need to consider the balance of profit and risk in participating in alternative transactions. This paper considers the main risks such as electricity price risk, electricity risk and coal burning cost, and uses the utility function and CVaR method in financial management to establish a risk assessment decision model for self-sufficient power plant enterprises. Through the quadratic programming, the optimal partition coefficient and CVaR value of the electricity participating in the alternative transaction in different market environments are solved. The influences of different risk aversion, default behavior, coal cost changes on the electricity distribution coefficient, expected profit and CVaR value of the decision makers are analyzed. The research shows that the model can accurately reflect the benefits brought by different trading strategies of captive power plant enterprises and the risk of self-sufficient power plant enterprises participating in alternative transactions, so as to maximize the return of transactions and minimize risks. This work is supported by Xinjiang Science and Technology Support Project (No. 2017E0277).