In this work we propose a quantum-enhanced machine learning solution for the prediction of credit rating downgrades, also known as fallen-angels forecasting in the financial risk management field. We implement this solution on a neutral atom Quantum Processing Unit with up to 60 qubits on a real-life dataset. We report competitive performances against the state-of-the-art Random Forest benchmark whilst our model achieves better interpretability and comparable training times. We examine how to improve performance in the near-term validating our ideas with Tensor Networks-based numerical simulations.
Full paper here.