“Mutual funds, hedge funds and E.T.F.s are part of the ‘shadow banking system,’ where these modern ‘banks’ are not required to maintain reserves or even emergency levels of cash,” Mr. Gross wrote in a letter to investors. “Since they in effect now are the market, a rush for liquidity on the part of the investing public, whether they be individuals in 401(k)’s or institutional pension funds and insurance companies, would find the ‘market’ selling to itself with the Federal Reserve severely limited in its ability to provide assistance.”

Whether Mr. Weinstein valued the assets in his fund properly or not will be up the court to decide. Many facts on both sides that are necessary to truly understand what happened have yet to emerge.

But what we do know from the lawsuit is that Mr. Weinstein had to value his portfolio as if it were being sold tomorrow, and it demonstrates, at least to some degree, that selling illiquid assets in a hurry usually results in sharply lower prices.

Stephen A. Schwarzman, co-founder and chairman of the Blackstone Group, is a Wall Street veteran who has been anxious that many regulations put in place since 2008 have made it harder for banks to act as intermediaries and stand in to buy assets if the markets seize up.

“A liquidity drought can exacerbate, or even trigger, the next financial crisis,” Mr. Schwarzman wrote in The Wall Street Journal earlier this year. “Sellers will offer securities, but there will be no buyers. Prices will drop sharply, causing large losses for investors, pension funds and financial institutions. Additional fire sales will aggravate the decline.”

Not everyone is convinced a liquidity crisis is upon us. Matt Levine, a columnist for Bloomberg View, calls it “the liquidity illusion,” which he defines as a narrative that “big investors buy a lot of bonds thinking that they’ll be easy to unload in a crash, but in fact they won’t be easy to unload, and there’ll be panicked fire sales that worsen the crash and lead to a real crisis.”