The combined cooling, heating and power system (CCHP) can be used to realize the cascade utilization of energies and improve the energy utilization efficiency. Focusing on the phenomenon that the traditional self-sufficiency mode is easy to cause insufficient or excess regional energy supply, a method of constructing virtual energy station to coordinate and optimize the energy supply of multiple characteristic complementary regions is proposed. Firstly, the medium and long-term trading volume is signed with the power and natural gas market based on the typical load curve, then the operation strategy for obtaining the maximum revenue of the virtual energy station is determined according to the purchase and sale price of power and gas in the day ahead market. To solve the impact of internal load uncertainty, this paper introduces the downside risk into a two-stage stochastic programming model that maximizes the benefit of virtual energy station, and makes the decision to ensure the minimum benefit by controlling the risk factors. The feasibility and effectiveness of the proposed model are verified through case studies. On the basis of ensuring the energy supply demand of users, the virtual energy station can participate in the day ahead market to obtain considerable benefits. Finally, the benefits under different risk control factors are analyzed, so as to provide reference to decision makers with different risk preferences.