A More General Quantum Credit Risk Analysis Framework

Credit risk analysis (CRA) quantum algorithms aim at providing a quadratic speedup over classical analogous methods. Despite this, experts in the business domain have identified significant limitations in the existing approaches. Thus, we proposed a new variant of the CRA quantum algorithm to address these limitations. In particular, we improved the risk model for each asset in a portfolio by enabling it to consider multiple systemic risk factors, resulting in a more realistic and complex model for each asset’s default probability. Additionally, we increased the flexibility of the loss-given-default input by removing the constraint of using only integer values, enabling the use of real data from the financial sector to establish fair benchmarking protocols. Furthermore, all proposed enhancements were tested both through classical simulation of quantum hardware and, for this new version of our work, also using QPUs from IBM Quantum Experience in order to provide a baseline for future research. Our proposed variant of the CRA quantum algorithm addresses the significant limitations of the current approach and highlights an increased cost in terms of circuit depth and width. In addition, it provides a path to a substantially more realistic software solution. Indeed, as quantum technology progresses, the proposed improvements will enable meaningful scales and useful results for the financial sector

Towards An End-To-End Approach For Quantum Principal Component Analysis

Quantum Machine Learning has gained significant attention in recent years as a way to leverage the relationship between quantum information and machine learning. Principal Component Analysis (PCA) is a fundamental technique in machine learning, and the potential for its quantum acceleration has been extensively studied. However, an algorithmic end-to-end implementation remains challenging. This paper covers quantum PCA implementation up to extracting the principal components. We extend existing processes for quantum state tomography to extract the eigenvectors from the output state, addressing the challenges of dealing with complex amplitudes in the case of non-integer eigenvalues. Finally, we apply our implementation to a practical quantum finance use case related to interest rate risk, and present the results of our experiments