Problems do not come more practical than this. Operational risk is generally measured on a consolidated basis, often by business line. That diversification benefits exist on a consolidated basis suggests that operational risk estimated from the bottom up - by, say, legal entity - would not only be more difficult but might well add up to more than the total from the top down.
Money-market fund managers and other investors apparently had underestimated the exposure they were incurring towards the risks in US sub-prime mortgages by purchasing asset-backed commercial paper (ABCP) issued by these vehicles. Box 8 of the Review provides a detailed explanation of the various ABCP structures and how they were affected by the market turmoil.