Quantum Risk Analysis: Beyond (Conditional) Value-at-Risk
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2022
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| _version_ | 1866916585877274624 |
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| author | Laudagé, Christian Turkalj, Ivica |
| author_facet | Laudagé, Christian Turkalj, Ivica |
| contents | Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are introduced to calculate them. These procedures are based on the so-called quantum amplitude estimation algorithm which lead to a quadratic speed up compared to classical Monte-Carlo based methods. Based on these ideas, we construct quantum-based algorithms to calculate alternatives for VaR and CVaR, namely the Expectile Value-at-Risk (EVaR) and the Range Value-at-Risk (RVaR). We construct quantum algorithms to calculate them. These algorithms are based on quantum amplitude estimation. In a case study, we compare their performance with the quantum-based algorithms for VaR and CVaR. We find that all of the algorithms perform sufficiently well on a quantum simulator. Further, the calculations of EVaR and VaR are robust against noise on a real quantum device. This is not the case for CVaR and RVaR. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2211_04456 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Quantum Risk Analysis: Beyond (Conditional) Value-at-Risk Laudagé, Christian Turkalj, Ivica Quantum Physics Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are introduced to calculate them. These procedures are based on the so-called quantum amplitude estimation algorithm which lead to a quadratic speed up compared to classical Monte-Carlo based methods. Based on these ideas, we construct quantum-based algorithms to calculate alternatives for VaR and CVaR, namely the Expectile Value-at-Risk (EVaR) and the Range Value-at-Risk (RVaR). We construct quantum algorithms to calculate them. These algorithms are based on quantum amplitude estimation. In a case study, we compare their performance with the quantum-based algorithms for VaR and CVaR. We find that all of the algorithms perform sufficiently well on a quantum simulator. Further, the calculations of EVaR and VaR are robust against noise on a real quantum device. This is not the case for CVaR and RVaR. |
| title | Quantum Risk Analysis: Beyond (Conditional) Value-at-Risk |
| topic | Quantum Physics |
| url | https://arxiv.org/abs/2211.04456 |