This paper addresses a topic of supply chain management from a new perspective: incorporating risk aversion in a supply contract model. A pay to delay capacity reservation contract is analyzed by using the concept of conditional value-at-risk (Cvar). First, we construct the manufacturers optimal ordering problem by using the dynamic programming approach. Then, we derive the manufacturers optimal ordering strategy and compare our results with those obtained by using expectation performance and mean-variance tradeoff. Finally, numerical results are shown to reveal the impact of risk aversion on the manufacturers optimal decisions. The analysis presented in this paper reveals advantages of using the Cvar approach over the mean-variance approach.