A Quantum Algorithm for the Sensitivity Analysis of Business Risks
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Abstract
We present a novel use case for quantum computation: the sensitivity analysis for a risk model used at Deutsche B\"orse Group. Such an analysis is computationally too expensive to perform on classical computers. We show in detail how the risk model and its analysis can be implemented as a quantum circuit. We test small scale versions of the model in simulation and find that the expected quadratic speedup compared to the classical implementation used at Deutsche B\"orse Group can be realized. Full scale production usage would be possible with less than 200 error corrected qubits. Our quantum algorithm introduces unitary but imperfect oracles which use Quantum Amplitude Estimation to detect and mark states. This construction should be of general interest and we present theoretical results regarding the performance of Grover's search algorithm with imperfect oracles.