\gamma_1^2}{36t}\right]. $$ The Value-at-Risk is then $$\mathrm{VaR} = K_0 \left( 1 - {\exp (y_{\alpha}[t]-rt})\right),$$ where $K_0$ is the initial capital, $\alpha$ is some level of significance , say 1 to 5% or so, and $r$ is some instantaneous risk-free rate, appropriate discount rate, or required rate of return, however one chooses