An important but neglected issue in the green financing literature is the relative downside riskiness of green versus nongreen securities markets. Motivated by its current governance regime and institutional characteristics of green financing, this study explores the issue for China, focusing on the downside risks of individual securities markets. We propose two dynamic joint models for Value-at-Risk and Expected Shortfall, coined as “Hybrid-X4” and “FZ1F-X4”. The models extend the Hybrid and FZ1F models of Patton et al. (2019) by introducing four exogenous risk factors with the central one being China's climate policy uncertainty. Thanks to the models, we document that, contrary to conventional wisdom, green bond markets are significantly downside riskier than nongreen bond markets. We also show that volatility shocks from China's climate policy uncertainty drive the downside risks of green bond, nongreen bond, and equity markets, after controlling for volatility shocks from US economic policy uncertainty, a securities market's own trading volume, and international stock markets. Model-based policy simulations reveal that a permanent rise in the volatility of China's climate policy uncertainty would significantly increase the downside risks of all the securities markets under our investigation.