Many policy makers, including senior regulatory authorities, believe that a cause of the credit cri-sis was that "the risk models didn't work." An array of quantitative models is used to measure risk, but not all the models are appropriate for measuring the risk of securitization positions. Securitiza-tions, although not widely understood, are the main reason people are facing their current troubles. A major cause of the securitization bubble and subsequent bust was that investment managers, including the trading desks of some of the country's largest banks, used credit risk models that were not up to the task of allocating capital to particular securitization positions. What people are seeing in the middle of this crisis is quite disturbing. Ratings are still being relied on, even though strong empirical evidence shows that ratings of securitization positions are not sufficient to understand tail risk. Rather, in the current environment, there is a pervading sense that "models don't work" and that such securitization positions "can't be valued."