["Scottish Journal of Political Economy, EarlyView. ", "\nABSTRACT\nMotivated by its current defective governance regime and institutional characteristics of green finance, this study models Value‐at‐Risk and Expected Shortfall of security markets for China. We extend Patton et al.'s (2019) models by introducing four exogenous risk factors including China's climate policy uncertainty (CCPU). The results indicate that green bond markets can be downside‐riskier than nongreen bond markets. We also show that volatility shocks to CCPU drive up the downside risks of green bonds, nongreen bonds, and equity markets, controlling for volatility shocks to US economic policy uncertainty, a security market's own trading volume, and international stock markets.\n"]