Final results of 2 experiments conducted by Crédit Agricole CIB with Pasqal and Multiverse Computing on real use cases in finance
2 PoC (“Proof of Concept” or “Preuve de Concept”) launched by Crédit Agricole CIB in June 2021 aimed to evaluate, on the one hand, the contribution of an algorithmic approach inspired by quantum computing, and on the other hand. , the potential of quantum computing for finance in two areas: financial product valuation and credit risk measurement.
Thus, the bank chose to join forces with France’s Pascal, a European leader in the production of quantum computers, and Spain’s Multiverse Computing, which specializes in quantum and “quantum-inspired” algorithms. conventional calculations of infrastructures.
An experiment on valuation of derivatives in capital markets with Multiverse
The goal was to test the performance improvement of a quantum computing-inspired approach to the evaluation of derivatives. Indeed, recent studies have highlighted the contribution of neural networks for this type of computation. However, neural networks are difficult to use in many cases due to their expensive training in terms of memory and time. However, algorithmic techniques inspired by quantum computing allow to optimize the speed and memory footprint of this training phase. Key: faster assessment and more accurate measurement of risk.
An experiment on counterparty financial downgrade anticipation with Pasqal and Multiverse
The goal was twofold: first, to measure the capacity of a quantum computer to solve a specific problem, in the current state of the technology; then evaluating the performance evolution of the results with the number of qubits[1] is used. Thus, the Bank chose the option of use in production, which allows to benefit from a real point of comparison; it is the expectation of a counterparty’s credit rating downgrade over a 6- to 15-month horizon. It is possible to get good results with classical calculation and thanks to heuristics. However, these methods do not work for all problems, and the obtained results cannot be guaranteed to be close to the optimal solution. Using quantum parallelism in the theory allows finding good solutions more efficiently.
2 experience success
2 experiments that took place within a year and a half were crowned with success. A clear speedup of computing time with less memory space has been measured using methods inspired by quantum computing, which paves the way for their use in production to evaluate derivatives. As for the implementation of Pascal on a quantum computer, the selected problem can be solved in real conditions, with real Crédit Agricole CIB data, up to 60 cubes. Results from 50 qubits are as accurate as production results. Projections show that this performance could exceed 300 qubits, a power that should be available in the industry by 2024.[2]
Ali Al Hamidi, project sponsor within Crédit Agricole CIB, states: “These 2 PoCs have allowed us to concretely demonstrate the potential and reality of quantum computing for finance, even though quantum computing technologies are still in their infancy. We are looking to start developing internal capabilities to prepare for this technological breakthrough. we used the initiative, and if this happens, it will have a direct and decisive impact on the competitiveness of our sector.
Georges-Olivier Raymond, Pascal’s president, declares: “This is the most exemplary experiment ever carried out and opens a new era for quantum computing with the first concrete comparisons. One of the conclusions is that the tipping point is not so far away, probably less than 2 years, and therefore it is urgent for users like Crédit Agricole CIB to adopt these new methods quickly. Thanks to our partners, Crédit Agricole CIB and Multiverse, for this great success. »
Enrique Lizaso, CEO of Multiverse Computing, says: “With our flagship SaaS Singularity platform, as well as the quantum computers we currently have, we support organizations in solving problems. This collaboration with Crédit Agricole CIB and Pascal for the quantum part clearly demonstrated that economic benefit is now possible using quantum-inspired and quantum solutions. »
- ^ [1] A qubit, or quantum bit, is the basic unit of quantum computing.
- ^ [2] Link to credit risk management research article: [2212.03223] Financial Risk Management in a Neutral Atomic Quantum Processor (arxiv.org)
