A note on the Swiss Solvency Test risk measure

In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203–228; Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku, H., 2004. Coherent multiperiod risk adjusted values and Bellman’s principle. Working Paper. ETH Zurich]. We provide a simple example which shows that it does not satisfy the axiom of monotonicity. We then find, as a monotonic alternative, the greatest coherent risk measure which is majorized by the Swiss Solvency Test risk measure.