The “dual-carbon” policy issued in China has further promoted the development of new energy sources based on wind and photovoltaics. The integration of a high proportion of new energy sources into the grid has also brought about system peak shaving problems. To increase the system's peak-shaving capability, the power adjustable load can be incorporated into the system's peak-shaving gradually, so that power loads can participate in spot market transactions to achieve indirect peak shaving effects. However, there is a certain income risk when participating in the spot market transaction. Therefore, this paper proposes a load-participating system peak shaving control model considering the risk of day-ahead spot market. First, it analyzes the mechanism of the power load participating in the system peak shaving. Secondly, given the current conditions of the domestic electricity spot market transaction mechanism, and based on the VaR method and extreme value theory, the risk of power adjustable loads participating in the day-ahead spot market transaction is analyzed quantitatively. Then, considering the uncertainty risk of wind power, photoelectric and basic load, it establishes a two-level control model of load participating system peak shaving. It considers the risk of day ahead spot market, and then converts it into a single-level mixed integer linear programming problem through KKT condition. Finally, an example simulation is used to verify the effectiveness of the model proposed. It shows that the proposed model can improve the load income while ensuring the peak shaving effect, and provides a feasible new idea for system peak shaving with the background of day-ahead spot market transactions. This work is supported by the National Key Research and Development Program of China (No. 2018YFE0208400).