Health economic models have become the primary vehicle for undertaking economic evaluation and are used in various health care jurisdictions across the world to inform decisions about the use of new and existing health technologies. Models are required because a single source of evidence, such as a randomised controlled trial, is rarely sufficient to provide all relevant information about the expected costs and health consequences of all competing decision alternatives. Whilst models are used to synthesise all relevant evidence, they also contain assumptions, abstractions and simplifications. By their very nature, all models are therefore “wrong.” Whilst the presence of imperfect evidence provides the impetus for developing models, it is also the reason why we can never fully validate them. As such, the interpretation of estimates of the cost-effectiveness of health technologies requires careful judgements about the degree of confidence that can be placed in the models from which they are drawn. The presence of a single error or inappropriate judgement within a model may lead to inappropriate decisions, an inefficient allocation of health care resources and ultimately suboptimal outcomes for patients. This study sets out a taxonomy of threats to the credibility of health economic models. The taxonomy segregates threats to model credibility into three broad categories (1) unequivocal errors, (2) violations and (3) matters of judgement, and maps these across the main elements of the model development process. These three categories of threats to model credibility are defined according to the existence of criteria for judging correctness, the degree of force with which such criteria can be applied, and the means by which potential threats can be handled. A range of suggested processes and techniques for avoiding and identifying these threats is put forward with the intention of prospectively increasing the credibility of any given model.