The topic of energy security has become an issue of high salience over the last few years. As fears about the stability of the world’s energy resources grow, policy-makers tend to merge the security concerns into the climate change policies that they are considering.There are currently three major challenges of the global energy policy: the oil shock and higher prices, greater threats to security of supply, and climate change.Our paper seeks to bring an analytical perspective on these questions. To this end, it starts by individually analyzing the above-mentioned challenges at the EU level and by exploring strategies for meeting them. The paper subsequently concentrates on the European Emissions Trading Scheme (EU ETS), as the flagship of EU climate change policy, for a number of political, environmental and economic reasons. In the last part of the paper issues related to the climate change policy in Romania are addressed. The paper concludes with a review of the progress towards a single European energy market.