Mohamed El-Erian says global financial markets are downplaying the dangers that could be sparked by the lack of liquidity.

"Liquidity is the most underappreciated risk factor out there. We've seen the bond market reprice to an understanding that liquidity is not as abundant as all that, and I would just worry about the liquidity risk," the chief economic adviser at Allianz and former Pimco CEO told CNBC.

El-Erian’s recent warning echoes what he said earlier this year.

In February, he warned the network that "the biggest risk out there is there's an illusion of liquidity. People actually believe that they can rationally bubble ride until the turn. When the turn comes, they actually believe they're going to reposition themselves. History tells us that there isn't as much liquidity as people think there is."

Meanwhile, the chief executive officers and chairmen of some of Europe’s biggest banks and insurance companies called for more studies on the effectiveness and impact of regulation to prevent financial crises.

“It is as yet unclear how effective prudential and monetary tools are at limiting systemic risk and how they may impact the real economy, especially in advanced economies with increasingly complex financial systems,” they said in a joint statement published by the World Economic Forum.

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