Grits, like polenta, can take a long time to cook—up to 1 hour. For a quicker version, use instant grits, following the method below, and reduce cooking time to 10 minutes.

To prepare shrimp broth: To a large saucepan set over medium-high heat, add all broth ingredients and bring to a boil. Reduce heat to low and simmer broth for 30 minutes, skimming any foam off the top with a slotted spoon. Strain broth and discard shells; set aside.

To prepare the grits: To a medium saucepan set over medium heat, add grits, water, salt, and 2 tablespoons butter; bring to a boil. Reduce the heat to low, cover, and simmer, stirring occasionally, until tender, 45 to 60 minutes. If the grits become too thick, thin them out by whisking in more water. Remove from the heat and stir in the remaining 2 tablespoons butter and cheese. Taste and adjust seasoning with salt, pepper, and Tabasco.

To prepare shrimp: To a large skillet set over medium heat, add bacon and cook, stirring often, until bacon is crisp and fat has rendered, about 7 minutes. Add shrimp and cook just until it is bright pink and almost cooked through, about 2 minutes. Using a slotted spoon, transfer bacon and shrimp to a plate and reserve bacon fat in the skillet.

Return skillet to medium-high heat and add 2 tablespoons butter. Add mushrooms, shallot, and garlic. Season with salt and pepper and cook, stirring occasionally, until softened, about 5 minutes. Carefully add sherry to deglaze the pan, followed by the shrimp stock, Tabasco, bay, and smoked paprika. Reduce heat to simmer and cook until flavors meld, about 10 minutes. Remove bay leaves and discard.

Add reserved shrimp and bacon to the skillet and cook until heated through and shrimp is cooked through, about 3 minutes. Stir in lemon juice, and remaining 2 tablespoons butter. Taste and adjust seasoning with salt and pepper.

To serve: Divide grits between warmed bowls and top with shrimp. Spoon pan sauce over the shrimp, garnish with parsley, and serve immediately.