Nicolas Fulli-Lemaire

Oliver Wyman SA

Engagement Manager, PhD.

1 rue Euler

Paris, 75008

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 31,020

SSRN RANKINGS

Top 31,020

in Total Papers Downloads

1,476

SSRN CITATIONS
Rank 47,153

SSRN RANKINGS

Top 47,153

in Total Papers Citations

3

CROSSREF CITATIONS

7

Scholarly Papers (7)

A Dynamic Inflation Hedging Trading Strategy Using a CPPI

Journal of Finance & Risk Perspectives, Volume 1 (2) 2012, 12th ACRN International Research Conference Proceeding - 2012, Steyr, European Business Research Conference Proceedings - 2012, Rome , 7th Annual Risk Management Conference Paper - 2013, Singapore
Number of pages: 39 Posted: 03 Jan 2012 Last Revised: 24 Jul 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 348 (85,610)
Citation 1

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ALM, Inflation Hedging, Portfolio Insurance, CPPI

A Dynamic Inflation Hedging Trading Strategy Using a CPPI

Journal of Finance & Risk Perspectives, Volume 1 (2) 2012 , 12th ACRN International Research Conference Proceeding 2012, Steyr , European Business Research Conference Proceedings 2012, Rome
Number of pages: 21 Posted: 02 Apr 2012 Last Revised: 07 Jan 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 206 (148,607)
Citation 1

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ALM, Inflation Hedging, Portfolio Insurance, CPPI

2.

Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics

Alternative Investment Analyst Review - CAIA, Volume 2 (3) 2013, 2nd European Conference on Banking and the Economy 2013 Paper - Winchester UK, Eurobanking 2013 Annual Meeting Paper - Paris
Number of pages: 15 Posted: 08 Nov 2012 Last Revised: 11 Dec 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 227 (135,726)

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inflation hedging, portfolio allocation, alternative investment, commodities, real rates, core Inflation, global macro, inflation pass-through, strategic allocation, portfolio insurance, Great Recession

3.

An Inflation Hedging Strategy with Commodities: A Core Driven Global Macro

The Journal of Investment Strategies, Risk - Summer Issue, June 2013 , 51st Euro Working Group on Commodities and Financial Modelling Meeting Paper - London 2013, 20th Forecasting Financial Markets Conference Paper - Hannover 2013, Asian Finance Association (AsFA) 2013 Conference Paper - Nanchang 2013
Number of pages: 27 Posted: 27 Mar 2012 Last Revised: 04 Jul 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 216 (142,372)
Citation 3

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Inflation Hedging, Portfolio Allocation, Commodities, Core Inflation, Global Macro, Inflation Passthrough, Arbitrage Pricing, Strategic Allocation, Tactical Allocation

4.

Swapping from Headline to Core Inflation and Commodity Hedging

Insurance Risk - Risk, Oct. 2014, European Business Research Conference Proceedings - Rome IT, 2012, Southwestern Finance Association 2013 Annual Meeting Paper - Albuquerque NM, 2013, AIDEA 2013 Banking & Finance Annual Conference Paper - Lecce IT, 2013
Number of pages: 34 Posted: 08 Aug 2012 Last Revised: 19 Oct 2014
Nicolas Fulli-Lemaire and Ernesto Palidda
Oliver Wyman SA and Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management
Downloads 144 (203,737)
Citation 3

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ALM, LDI, Long-term Investment, Inflation Hedging, Core Inflation, Commodities, Inflation Pass-through, Arbitrage Pricing, Synthetic Futures, Inflation Derivative, Monte-Carlo

5.

Risky Business : The New 2018 EBA IRRBB Guidelines, Insights and Implications for European Banking

Financial Regulation International
Number of pages: 12 Posted: 14 Dec 2018 Last Revised: 06 Jul 2019
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 138 (210,929)
Citation 4

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IRRBB, Banking, ALM, BCBS, EBA, SSM

6.

Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets

Amundi-Dauphine Chair 2013 Asset Management Workshop Paper, Journal of Alternative Investments, Vol. 18, No. 3, 2016
Number of pages: 24 Posted: 09 Sep 2013 Last Revised: 09 Feb 2016
Nicolas Fulli-Lemaire and Ernesto Palidda
Oliver Wyman SA and Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management
Downloads 133 (217,256)
Citation 1

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Inflation, Core Inflation, Commodity Futures, Oil Futures, Breakeven Inflation Rates, Cross-Hedging, Inflation Pass-Through, Multi-dimensional Gaussian Model, Signal Processing, Kalman Filter, Equilibrium Pricing, Schwartz-Smith Model

7.

A Tale of Two Eurozones: Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Journal of Advanced Studies in Finance - ASERS, Volume (V) Summer 2014
Number of pages: 33 Posted: 13 Aug 2013 Last Revised: 15 Oct 2014
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 64 (348,083)

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private banks, central banks, sovereign debt risk, OMT, LTRO, non-conventional monetary policies, Euro-Zone’s sovereign debt crisis, Oaxaca-Blinder decomposition

Other Papers (4)

Total Downloads: 68
1.

Allocating Commodities in Inflation Hedging Portfolios: A Core Driven Global Macro Strategy

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 25 Posted: 28 Apr 2012 Last Revised: 14 Jan 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 61

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Inflation Hedging, Portfolio Allocation, Commodities, Core Inflation, Global Macro, Inflation Pass-through, Arbitrage Pricing, Strategic Allocation, Tactical Allocation

2.

Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets

Number of pages: 24 Posted: 12 Sep 2013 Last Revised: 28 Oct 2013
Nicolas Fulli-Lemaire and Ernesto Palidda
Oliver Wyman SA and Ecole des Ponts Paris Tech - PRES Université Paris East
Downloads 3

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Inflation, Core Inflation, Commodity Futures, Oil Futures, Breakeven Inflation Rates, Cross-Hedging, Inflation Pass-Through, Multi-dimensional Gaussian Model, Signal Processing, Kalman Filter, Equilibrium Pricing, Schwartz-Smith Model

3.

A Tale of Two Euro-Zones: Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Number of pages: 33 Posted: 12 Sep 2013 Last Revised: 16 Sep 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 3

Abstract:

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private banks, central banks, sovereign debt risk, OMT, LTRO, non-conventional monetary policies, Euro-Zone’s sovereign debt crisis, Oaxaca-Blinder decomposition

4.

Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics

Number of pages: 17 Posted: 15 Jan 2013
Nicolas Fulli-Lemaire
Oliver Wyman SA
Downloads 1

Abstract:

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inflation hedging, portfolio allocation, alternative investment, commodities, real rates, core Inflation, global macro, inflation pass-through, strategic allocation, portfolio insurance, Great Recession