Considering the trading rules, products and settlement mechanism of Guangdong power spot market, the credit risk management mechanisim is proposed in this paper, which includes credit warning mechanism, credit limit assessment and multi-market netting risk calculation. The “Occupying Coeffieient” is introduced as a signal in the credit warning mechanism. The credit limit assessment involves two components—the unsecured credit limit determined by credit rating based on the solvency, and the secured credit limit obtained by posting bank guarantee. Multi-market netting risk calculation includes “Meduim-And-Long-Term And Spot” bi-market netting risk calculation and “Meduim-And-Long-Term, Spot And Retailing” tri-market netting risk calculation. An example is introduced to demonstrate that, cooperating with the settlement mechanism, the netting risk calculation is more accurate in credit risk assessment, and reduces the collateral required from the retailers participating in the power market.