Recent regulation is becoming more oriented to a cleaner world energy market, bringing concerns on traditional energy companies and investors regarding consequences of transition and financial downside risks. This article implements techniques to estimate and validate the two main financial risk measures of four renewable energy stocks and four traditional energy stocks for the period ranged from 2005 to 2016. Validation performance is evaluated through traditional tests for the well-known Value-at-Risk but also through recent testing of expected shortfall provided by Acerbi and Székely (2014, 2017). Our paper extends these tests to the skewed-t distribution and is a novel application in traditional and renewable energy markets showing that the skewed-t is an accurate tool for risk management in these markets. Our findings have important implications for portfolio managers and regulators in terms of capital allocation in renewable and traditional energy stocks, mainly to reduce the impact of possible extreme loss events.