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Paralleling regulatory developments, we devise value-at-risk and expected shortfall type risk measures for the potential losses arising from using misspecified models when pricing and hedging contingent claims. Essentially, losses from model risk correspond to losses realized on a perfectly hedged position. Model uncertainty is expressed by a set of pricing models, relative to which potential losses are determined. Using market data, a unified loss distribution is attained by weighing modelsdoi:10.1080/14697688.2016.1142671 fatcat:64jqftg765dv7dovmdu62eovby