  This paper introduces a relative model risk measure of a product priced with
a given model, with respect to another reference model for which the market is
assumed to be driven. This measure allows comparing products valued with
different models (pricing hypothesis) under a homogeneous framework which
allows concluding which model is the closest to the reference. The relative
model risk measure is defined as the expected shortfall of the hedging strategy
at a given time horizon for a chosen significance level. The reference model
has 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 is
applied to estimate and compare this relative model risk measure under
volga-vanna and Black-Scholes models for double-no-touch options and a
portfolio of forward fader options.
