Consider two investment banks, A and B, that are estimating the 1-day 99% Value at Risk (VaR) for a long position in an at-the-money call option on a non-dividend-paying stock. Bank A uses the delta-normal model for their VaR calculation, whereas Bank B employs a Monte Carlo simulation method for full revaluation. Given the following details:

• Current stock price: USD 120
• Estimated annual stock return volatility: 18%
• Current Black-Scholes-Merton call option value: USD 5.20
• Call option delta: 0.6

Which bank will have a higher 1-day 99% VaR estimate for this call option, Bank A or Bank B?