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This paper introduces a relative model risk measure of a product priced witha given model, with respect to another reference model for which the market isassumed to be driven. This measure allows comparing products valued withdifferent models (pricing hypothesis) under a homogeneous framework whichallows concluding which model is the closest to the reference. The relativemodel risk measure is defined as the expected shortfall of the hedging strategyat a given time horizon for a chosen significance level. The reference modelhas been chosen to be Heston calibrated to market for a given time horizon(this reference model should be chosen to be a market proxy). The method isapplied to estimate and compare this relative model risk measure undervolga-vanna and Black-Scholes models for double-no-touch options and aportfolio of forward fader options.

Applying hedging strategies to estimate model risk and provision calculation