Implementing Credit Risk Analysis with Quantum Singular Value Transformation
Davide Veronelli, Francesca Cibrario, Emanuele Dri, Valeria Zaffaroni, Giacomo Ranieri, Davide Corbelletto, Bartolomeo Montrucchio
信用风险分析对金融机构的有效运作至关重要。 量子振幅估计(QAE)提供了比经典方法(用于估计风险价值(VaR)和风险条件值(CVAR))等指标的二次加速的潜力。 然而,在有效扩展解决这些估计问题的量子电路的实现方面仍然存在许多限制。 其中一个主要挑战是使用昂贵的限制性算术,必须在量子电路内实现。 在本文中,我们建议使用量子奇点值转换(QSVT)来显著降低实施状态准备运算符的成本,这是QAE进行信用风险分析的基础。 我们还介绍了端到端代码实现和模拟研究的结果,以验证拟议方法并展示其益处。
The analysis of credit risk is crucial for the efficient operation of financial institutions. Quantum Amplitude Estimation (QAE) offers the potential for a quadratic speed-up over classical methods used to estimate metrics such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). However, numerous limitations remain in efficiently scaling the implementation of quantum circuits that solve these estimation problems. One of the main challenges is the use of costly and restrictive arithmetic...