US, the IRS will come for you. They always do. Mexico? Not as nice as you think, election.
In the US the risk of audit is very low. And even if have a deficiency very hard to force collection, especially if your wealthy so don't have wages to lien against etc.
Trump's likely fraud-riddled tax returns (remember how he inflated or deflated values when the head of the Trump Organization went to prison) were too complicated for the IRS to audit, given all the shell corporations and transfers between entities, which are ripe for tax evasion. The IRS said it could not afford outside expert tax attorneys to figure out his organizational structure, seemingly designed to hide transfer to increase tax basis and various tax cheating.
Now the IRS funding has been drastically cut so they are less able to audit, especially complex, wealthy folks returns.
A computer can easily catch math errors, and if W2 or 1099 wages, compensation so most audits are relatively easy. You are just sent a notice of a error not any funding for agents to go out and visit you, just typically mail audits.
Many decades ago, I was a tax senior at the then Big 8 CPA firm Touche Ross (now part of Deloitte), reviewing tax returns prepared by juniors for many of the wealthiest individuals in the Minneapolis area. Back then, tax shelters in real estate were common but legal, and now they are long gone. I was not a partner, so I never met the many famous and wealthy clients I worked on, but I was one of the last stops before being passed on to a partner who worked directly with the client. Even a famous one with a still unsolved $1m ransom kidnapping wife. The FBI agent who delivered the ransom had to include a sworn statement in the return (theft loss).