Quantum algorithm for calculating risk contributions in a credit portfolio
نویسندگان
چکیده
Abstract Finance is one of the promising field for industrial application quantum computing. In particular, algorithms calculation risk measures such as value at and conditional a credit portfolio have been proposed. this paper, we focus on another problem in management, contributions, which quantify concentration subgroups portfolio. Based recent algorithm simultaneous estimation multiple expected values, propose method contribution calculation. We also evaluate query complexity proposed see that it scales $\widetilde{O} (\sqrt{N_{\mathrm{gr}}}/\epsilon )$ O˜(Ngr/ϵ) subgroup number $N_{\mathrm{gr}}$ xmlns:mml="http://www.w3.org/1998/Math/MathML">Ngr accuracy ϵ , contrast with classical (\log(N_{\mathrm{gr}})/\epsilon^{2} xmlns:mml="http://www.w3.org/1998/Math/MathML">O˜(log(Ngr)/ϵ2) complexity. This means that, contributions finely divided subgroups, advantage reduced compared measure entire Nevertheless, can be advantageous high-accuracy calculation, fact yield less than some practically plausible setting.
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ژورنال
عنوان ژورنال: EPJ Quantum Technology
سال: 2022
ISSN: ['2196-0763', '2662-4400']
DOI: https://doi.org/10.1140/epjqt/s40507-022-00153-y