The article explores ways to measure model risk in popular market risk and volatility forecasting models. It introduces methods to correct for model risk in Expected Shortfall estimates, compares model risk between Value-at-Risk and Expected Shortfall, and develops a scoring function-based approach to measure joint model risk. The study also introduces a new method to estimate model risk in volatility models, showing that some models are more affected by model risk than others, especially after financial crises.