Take the Condition Value-at-Risk (CVaR) as a measure of risk indicators,a two-tier optimization of electricity market bidding model was built. The upper-level objective is to solve maximizing social profits and risk problem, the bi-level optimization is the largest power generation company profit optimization. In this paper, we designed heuristic particle swarm optimization (PSO) algorithm to solve the complex two-tier optimization. The IEEE 4-bus system and IEEE 9-bus system have been tested. Numerical examples of some standard tested IEEE systems show that the new model and algorithm have better effect of computation and practical. The contrast analysis show that CVaR can more accurately measure the risk of the power suppliers than VaR