  When applying Value at Risk (VaR) procedures to specific positions or
portfolios, we often focus on developing procedures only for the specific
assets in the portfolio. However, since this small portfolio risk analysis
ignores information from assets outside the target portfolio, there may be
significant information loss. In this paper, we develop a dynamic process to
incorporate the ignored information. We also study how to overcome the curse of
dimensionality and discuss where and when benefits occur from a large number of
assets, which is called the blessing of dimensionality. We find empirical
support for the proposed method.
