There is obviously much more to the full understanding of the current
financial crisis, but the root is this conflict between the genuine social value
of increased variety and spread of risk-bearing securities and the limits
imposed by the growing difficulty of understanding the underlying risks imposed
by growing complexity.
Here is more. Arrow, of course, has long been interested in issues of complexity and computability, even though his work is within the usual neoclassical confines. One way of putting the point is that starting a new market creates a negative externality on other people by eroding their knowledge and understanding of context and thus limiting the general ease of economy-wide transparency. I’m not sure this is true (we usually think of the extra market as adding knowledge), but it is an interesting way to categorize current problems.