Exploring Quantum-Enhanced Estimation of Financial Risk Metrics with Quantum RNG

Emanuele Dri, Achille Yomi, Muthumanimaran Vetrivelan, Cedric Kuassivi and Iv\`an Diego Exposito

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Abstract: In this paper, we present an approach for estimating significant financial metrics within risk management by utilizing quantum phenomena for random number generation. We explore Quantum-Enhanced Monte Carlo, a method that combines traditional and quantum techniques for enhanced precision through Quantum Random Numbers Generation (QRNG). The proposed methods can be based on the use of photonic phenomena or quantum processing units to generate random numbers. The results are promising, hinting at improved accuracy with the proposed methods and slightly lower estimates (both for VaR and CVaR estimation) using the quantum-based methodology.

Date: 2025-02
New Economics Papers: this item is included in nep-cmp and nep-rmg
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