Assume that Turkey has a problem, so you sell your Danish CMO (collateralized mortgage obligation) holdings - you are dependent on there being another buyer, able to buy up the entirety of your holdings at the price you want. If you have a lot of Danish CMOs, the market might not be able to absorb all the ones you want to sell, meaning either that you will not sell them , or will have to sell them for less.
Where people (and institutions mostly) seem to get into trouble is when in the interest of scoring a big profit, they drop one side of the hedge, pushing the other.
This is what happened in Marin County California a few years ago. The treasurer dropped one side of the derivative hedge and was hailed as a boy genius with all of the money he was making until the market turned on him and he lost about $3 Billion.