The article explores the model risk of Expected Shortfall (ES) compared to Value-at-Risk (VaR) for the DJIA index. By using GARCH models, the researchers found that ES estimates require smaller corrections for model risk than VaR. Specifically, the 2.5% ES needs less correction than the 1% VaR, supporting the switch from VaR to ES as suggested by the Basel Committee. Taking VaR model risk into account also reduces ES estimate corrections by 50% on average.