As an example of how difficult it is to value complex structured products under current market conditions, we can look at one particular incident.
Prudential recently announced that they made a mistake for the September pricing of their PRU 3Plus fund. This is a fund with credit exposure to 80-200 reference entities via derivative transactions.
In the quarterly statement sent out to investors, the pricing was incorrectly stated as $0.896. Prudential has since clarified that the correct pricing should be $0.548 instead. This is almost a 40% difference.