Abstract: As an emerging market to promote greenhouse gas emission reduction， carbon emissions trading has gradually become a significant factor affecting the profits of generation companies. Carbon emission quotas in the carbon market have typical characteristics of financial products. The fluctuation of carbon price and its interaction with electricity price will inevitably bring risk to the bidding decision of a generation company. Given this background， a virtual power plant (VPP) with thermal power units， distributed generation units， electric vehicles and demand-side resources integrated in the same region is addressed first， and the uncertainties faced by the VPP are measured by the conditional-value-at-risk (CVaR). Then， according to the Copula-CVaR theory， the Copula function is employed to model the joint probability distribution of electricity price and carbon price. With the objective of minimizing the CVaR， a bidding strategy for a virtual power plant considering the risk dependence on the electricity and carbon prices is presented. Finally， a sample system with four scenarios is employed to demonstrate the feasibility and efficiency of the proposed method for characterizing the bidding risk of the VPP.