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Power suppliers are faced with the trade-off between benefit and risk when they purchase energy from several sub-markets under electricity market environments. With conditional value-at-risk (CVaR) as a measuring index for market risk, a purchasing model for power suppliers among the wholesale, forward, options and interruptible load (IL) markets, is proposed, in which the objective function is to maximize the portfolio expected revenues. The model can be solved by an improved genetic algorithm, and the impacts of options and IL on purchasing portfolio are analyzed. The results of numerical examples show that options and IL can effectively lower portfolio loss, and the strike price of options, the IL compensation price and the risk evaded mentalities of suppliers have substantially effect on the portfolio allocation. As a consistency risk measurement tool, CVaR can be better applied in risk management of electricity markets.