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We present and analyze a quantum algorithm to estimate credit risk more efficiently than Monte Carlo simulations can do on classical computers.
1904
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1904
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1905
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Daniel S Abrams and Colin P Williams, “Fast quantum algorithms for numerical integrals and stochastic processes,” (1999), arXiv:9908083
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Risk Management Group of the Basel Committee on Banking Supervision, “Principles for the management of credit risk,” (2000)
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Paul Glasserman, Philip Heidelberger, and Perwez Shahabuddin, “Efficient Monte Carlo Methods for Value-at-Risk,” in Mastering Risk , Vol. 2 (2000) pp. 5–18
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Bruce Porteous, “Managing post-convergence risks in financial conglomerates,” Risk , 21–24 (2002)
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Gilles Brassard, Peter Hoyer, Michele Mosca, and Alain Tapp, “Quantum Amplitude Amplification and Estimation,” Contemporary Mathematics 305
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Lov Grover and Terry Rudolph, “Creating superpositions that correspond to efficiently integrable probability distributions,” (2002), arXiv:0208112
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Paul Glasserman, Monte Carlo Methods in Financial Engineering (Springer-Verlag New York, 2003) p. 596
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A.Yu. Kitaev, “Fault-tolerant quantum computation by anyons,” Annals of Physics 303
2003
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Steven A Cuccaro, Thomas G Draper, Samuel A Kutin, and David Petrie Moulton, “A new quantum ripple-carry addition circuit,” (2004), arXiv:0410184
2004
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Paul Glasserman and Jingyi Li, “Importance sampling for portfolio credit risk,” Manag. Sci. 51
2005
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Basel Committee on Banking Supervision, “International convergence of capital measurement and capital standards,” (2006)
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Thomas G. Draper, Samuel A. Kutin, Eric M. Rains, and Krysta M. Svore, “A logarithmic-depth quantum carry-lookahead adder,” Quantum Information and Computation 6
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Basel Committee on Banking Supervision, “Revisions to the Basel II market risk framework,” (2009)
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Marek Rutkowski and Silvio Tarca, “Regulatory capital modelling for credit risk,” International Journal of Theoretical and Applied Finance 18
2015
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Ashley Montanaro, “Quantum speedup of monte carlo methods,” Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 471
2015
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2016
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Sascha Desmettre, Ralf Korn, Javier Alejandro Varela, and Norbert Wehn, “Nested mc-based risk measurement of complex portfolios: Acceleration and energy efficiency,” Risks 4
2016
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F. Motzoi, M. P. Kaicher, and F. K. Wilhelm, “Linear and logarithmic time compositions of quantum many-body operators,” Phys. Rev. Lett. 119
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Michael A. Nielsen and Isaac L. Chuang, Cambridge University Press (2010) p. 702
2010
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Basel Committee on Banking Supervision, “Basel III: A global regulatory framework for more resilient banks and banking systems,” (2010)
2010
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Hai Lan, Barry L. Nelson, and Jeremy Staum, “A confidence interval procedure for expected shortfall risk measurement via two-level simulation,” Operations Research 58
2010
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Austin G. Fowler, Matteo Mariantoni, John M. Martinis, and Andrew N. Cleland, “Surface codes: Towards practical large-scale quantum computation,” Phys. Rev. A 86
2012
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Sergey Bravyi and Jeongwan Haah, “Magic-state distillation with low overhead,” Phys. Rev. A 86
2012
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Vadym Kliuchnikov, Dmitri Maslov, and Michele Mosca, “Practical approximation of single-qubit unitaries by single-qubit quantum Clifford and T circuits,” IEEE Transactions on Computers 65
2012
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Sylvain Bouteillé and Diane Coogan-Pushner, The Handbook of Credit Risk Management (2013) p. 322
2013
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2017
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N. Moll, P. Barkoutsos, L. S. Bishop, J. M. Chow, A. Cross, D. J. Egger, S. Filipp, A. Fuhrer, J. M. Gambetta, M. Ganzhorn, A. Kandala, A. Mezzacapo, P. Müller, W. Riess, G. Salis, J. Smolin, I. Tavernelli, and K. Temme, “Quantum optimization using variational algorithms on near-term quantum devices,” Quantum Science and Technology 3
2018
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Abhinav Kandala, Kristan Temme, Antonio D. Corcoles, Antonio Mezzacapo, Jerry M. Chow, and Jay M. Gambetta, “Error mitigation extends the computational reach of a noisy quantum processor,” Nature 567
2018
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Patrick Rebentrost, Brajesh Gupt, and Thomas R. Bromley, “Quantum computational finance: Monte carlo pricing of financial derivatives,” Phys. Rev. A 98
2018
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2018
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2018
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Kurt Stockinger, Jonas Heitz, Nils Andri Bundi, and Wolfgang Breymann, “Large-scale data-driven financial risk modeling using big data technology,” International conference on Big Data computing, applications and technologies (2018)
2018
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Vojtech Havlicek, Antonio D. Corcoles, Kristan Temme, Aram W. Harrow, Abhinav Kandala, Jerry M. Chow, and Jay M. Gambetta, “Supervised learning with quantum-enhanced feature spaces,” Nature 567
2019
Closest in time.
Stefan Woerner and Daniel J. Egger, “Quantum risk analysis,” npj Quantum Information 5
2019
Closest in time.
Roman Orus, Samuel Mugel, and Enrique Lizaso, “Quantum computing for finance: Overview and prospects,” Reviews in Physics 4
2019
Closest in time.