Yes, but any dynamic trading strategy by a leveraged investor that has a stop loss in it has an asymmetric payoff and needs to be treated like an option. If I trade deutsche mark or bond futures with a stop loss, the frequency of my losses will be greater than the frequency of my profits but the magnitude of my losses will be smaller to compensate. The VAR assumes than traders are stuffed animals between two reports. The risks of common events perhaps, those that do not matter, but not the risks of rare events. Moreover traders will find the smallest crack in the VAR models and try to find a way to take the largest position they can while showing the smallest amount of risk.
Traders have incentives to go for the maximum bang because of the free option they're granted.
If you make a dollar you get paid 10 cents. If you lose a dollar you pay zero. That obviously looks like an option payoff. So let's say your trader trades two bonds of slightly different maturities. They're very close but because they have deceptively close maturities the position will not produce a big VAR number.