The invention relates to the field of electricity transaction and electricity market construction management business risk control, and more specifically, relates to an electricity market risk management system and method. The electricity market risk management system comprises a risk identification system, a risk assessment system and a risk control system, wherein the risk identification systemis configured to analyze the overall business of a transaction center, comb business processes, discover, enumerate and describe risk points, and identify the overall business risks of the transactioncenter; the risk assessment system is connected to the risk identification system, and is configured to draw a risk coordinate map according to the probability of occurrence of risks and the assessment of the level of influence on a target, compare the overall risks, the risks of all business segments and the risks of all departments, and preliminarily determine the management priorities and strategies for each risk; and the risk control system is connected with the risk assessment system, and is configured to define risk control measures for specific risks so as to reduce the risks of the transaction center. According to the characteristics of electricity transaction, a proper electricity market risk management system is constructed to effectively solve the problems in management and control of electricity transaction risks.