Quantum computing for loan portfolio pricing optimization

For complex optimization problems in the financial services industry, specialized quantum computer can server as a transformative tool. Focusing on loan portfolio pricing optimization, we demonstrate the application potentials and advantages of quantum computing in financial optimization problems. For the first time, the loan portfolio pricing problem is modeled as a Quadratic Unconstrained Binary Optimization (QUBO) problem, and then solved by a specialized quantum computer, Coherent Ising Machine (CIM) based on optical dissipative systems. By introducing an auxiliary qubit and conducting a two-stage search for the appropriate penalty coefficients, we demonstrate the applicability and advantages of CIM in the loan portfolio pricing optimization problem. The experimental results demonstrate that compared to state-of-the-art classical solvers, CIM achieves significant acceleration capability and energy efficiency beyond classical methods. Furthermore, by conducting numerical and analytical evaluations of CIM’s scalability in the loan portfolio pricing optimization, we demonstrate the convergence guarantees of CIM and its ability to achieve a better solution quality than the state-of-the-art classical solver in large-scale problems.

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