The recent Fundamental Review of the Trading Book (FRTB) resulted in revised standards for capital requirements for market risks in a bank's trading book. As part of the ruleset, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). With the DRC as an...

Quantum computing allows a significant speed-up over traditional CPU- and GPU-based algorithms when applied to particular mathematical challenges such as optimisation and simulation. Despite promising advances and extensive research in hard- and software developments, currently available quantum...