The nexus between extreme events and energy price risk is of great importance in energy finance analysis due to the fact that those events generally exert strong impacts on energy financial risk. For a better estimation of the influence of extreme events on energy price risk, this research employs long span daily data from April 1, 1983 to December 30, 2019 and find first that both natural and human extreme events significantly increase oil price risk. Second, among all natural disasters, we find that the negative impact of an epidemic on oil price risk is the greatest. After replacing the measurement indicators of extreme events, re-estimating the models for two subsamples, using different data frequencies of weekly data and monthly data and using SVAR model to further analyze the relationship between extreme events and oil price risk, the above conclusions are still robust. Third, we also used natural gas price risk as a substitute variable for energy price risk, and found that the occurrence of natural disasters increases natural gas price risk, but terrorism has no significant impact on it. •This paper investigates the relation between extreme events and energy price risk.•Using long span daily data from April 1, 1983 to December 30, 2019.•The results show that both natural and human extreme events significantly increase oil price risk.•Among all natural disasters, the negative impact of an epidemic on oil price risk is the greatest.