Assets don’t need to be completely independent for their combination to provide an improved risk-adjusted return. In fact, all asset prices are correlated, but we still diversify. I don’t think the financial crisis happened because nobody heard of conditional probability. Derivative structuring is one of the places where people who are good at math go to get rich.

Here is an old paper from 2001 that talks about how ratings agencies were using this math: https://www.jstor.org/stable/4480294?seq=1

The devil is in the details - even if you understand the math, you have a lot of choices to make. Ultimately you are going to have to set parameters on your model where the data to estimate the parameter accurately doesn’t exist. And at that point, math suddenly turns into opinion.