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Abstract-Wind energy is a clean and renewable energy source which is rapidly growing globally. As the penetration level of wind power grows, the system operators need to consider wind power producers as strategic producers whose bidding behaviors will have an impact on the locational marginal prices. This paper proposes a bilevel stochastic optimization model to obtain the optimal bidding strategy for a strategic wind power producer in the short-term electricity market. The upper level problem of the model maximizes the profit of the wind power producer, while the lower level problem represents the market clearing processes of both day-ahead and real-time markets. The uncertainties in the demand, the wind power production, and the bidding strategies of the strategic conventional power producers are represented by scenarios in the model. The conditional value at risk of the selected worst scenarios is included in the objective function for managing the risk due to uncertainties. Using the duality theory and Karush-Kuhn-Tucker condition, the bilevel model is transferred into a mixed-integer linear problem. Case studies are performed to show the effectiveness of the proposed model. Decision Variables: λ W D bjtOffer price of block b of the wind generating unit j in a period t in the day-ahead market. λ W R jtOffer price of the wind generating unit j in a period t in the real-time market. p W D bjtProduced power of block b of the wind generating unit j in a period t in the day-ahead market. P W R jtωRescheduled power of the wind generating unit j in a period t in the real-time market. p CD bitPower of block b produced by the conventional power producer i in a period t in the day-ahead market. P CR+ it /P CR− itIncreased/decreased power of the conventional power producer i in a period t in the real-time market. Voltage angle of bus m in a period t in the day-ahead/real-time market. ζ Auxiliary variable used to compute CVaR. η ω Auxiliary variable used to compute CVaR in a scenario. Random Variables: λ CD bitOffer price of block b of the conventional power producer i in a period t in the dayahead market

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