Multiple energy carriers can be coupled as an Integrated Energy System (IES) through interconnection technologies. Unexpected risks will be transferred with the growing coupling of energy systems

mainly stemming from the uncertainties in different energy sectors. It is imperative to coordinate the operation of different energy systems to improve energy efficiency and ensure energy security. With the close integration of different energy systems

it is necessary to couple these different energy markets to achieve the holistic energy supply economy. On the other hand

uncertainties in the energy systems will bring the financial risk for the operator of IES. A risk-averse stochastic market clearing model for the IES is proposed to study the operating strategy aiming at minimizing the operation cost. While the financial risk imposed by the wind power uncertainties is restricted to a predefined level. Simulations results are provided to verify that the proposed model can improve market efficiency and handle the trade-off between cost and risk.