In a competitive setting, two investment banks, Bank A and Bank B, are assigned the task of calculating the 1-day 99% Value at Risk (VaR) for a long-standing at-the-money call option on a dividend-free stock. The necessary information for this calculation includes:

• Current stock price: USD 120
• Annual return volatility of the stock: 18%
• Present value of the Black-Scholes-Merton call option: USD 5.20
• Delta of the call option: 0.6 Bank A chooses to utilize the delta-normal model for their VaR calculation, while Bank B decides to apply a Monte Carlo simulation for a complete revaluation. The question to be answered is: which of the two banks is more likely to estimate a higher 1-day 99% VaR?