The question of how to hedge an option portfolio on multiple underlyings against tail risks is not an easy one, nor what with a single answer.
There are probably two big risks:
- a period of increased volatility in all currencies versus MAD until the MAD settles down that the market believes to be right
- a big one-off P&L on a big move on MAD versus all other currencies.
For the latter, you could do an analysis where you assume all non-MAD exchange rates fixed and you let EUR/MAD vary from -20% to +20% (or whatever bounds people are expecting). Reevaluating the book with all xxx/MAD implied levels from those and then looking at the P&L and greeks versus the level should give you an idea of whether you're comfortable with the risks. You could look at vega here and estimate the impact of that on your P&L, but my expectation (without knowing anything of your book) is that the gamma impact from a big one-off move to a new level of trading might dwarf whatever your vega P&L might do.