I don't think it was really based on any of the core reading, or at best only very loosely. Thoughts that sprung to my mind are the areas in ST5 (and perhaps one question I recall from SA6 past papers) based on using standard measures of risk for hedge funds, where there are asymmetric returns and all sorts of unknowns that can't be adequately captured. I know the situation was a pension fund but there was, I think, quite a bit of LDI in play. Therefore lots of other risks not captured by standard measures like tracking errors and VaR, particularly historical based measures if there's not been a collateral/counterparty/liquidity event in the observed data. That's my take on it anyway.
I could probably think of a lot more to write on this now that I'm not in the exam room...