Consider an index model that the regresses realised returns of a risky asset on factor returns. Suppose that in this regression, the variance of returns of the risky asset is 0.68 and the variance of the error term is 0.54. Both of these variances are in decimal form not % or %^2. What fraction (in %) of the total risk of the risky asset is systematic risk? Please choose the option that is closest to the correct answer.

a) 21%

b) 79%

c) 14%

d) 37%

e) 68%