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This paper proposes a mathematical model to manage natural gas supply and energy portfolio of a generation company. The model incorporates financial risks associated with the decision-making process of buying and selling both natural gas and electricity while keeping the interaction between the two markets. Using stochastic programming framework, the problem formulation considers uncertainties associated with electricity prices and natural gas consumption, which results in a large scale mixed integer linear programming problem. The financial risks are measured by the conditional-value-at-risk (CVaR) index. A simplified test system is presented and later solved using Xpress-IVE student edition. Value of stochastic solution is calculated, which provides the value of the stochastic model.