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Table 9
CAMEL Prediction Accuracy and Error Analysis: 4 Quarters before Downgrade
CAMEL 3-Rated Group
Equation
Specification
D--Pred (D)
(Correct D)
(%)
D--Pred (ND)
(Type 1 Error)
(%)
ND--Pred (ND)
(Correct ND)
(%)
ND--Pred (D)
(Type 2 Error)
(%)
In-Sample Classification
1 75.53 24.47 75.53 24.47
2 77.66 22.34 70.21 29.79
3 78.72 21.28 73.40 26.60
4 70.21 29.79 62.77 37.23
Out-of-Sample Classification
1 65.63 34.38 81.25 18.75
2 65.63 34.38 78.13 21.88
3 68.75 31.25 71.88 28.13
4 62.50 37.50 62.50 37.50
CAMEL 4/5-Rated Group
Equation
Specification
D--Pred (D)
(Correct D)
(%)
D--Pred (ND)
(Type 1 Error)
(%)
ND--Pred (ND)
(Correct ND)
(%)
ND--Pred (D)
(Type 2 Error)
(%)
In-Sample Classification
1 77.88 22.12 78.76 21.24
2 79.65 20.35 81.42 18.58
3 77.88 22.12 78.76 21.24
4 61.95 38.05 73.45 26.55
Out-of-Sample Classification
1 73.17 26.83 82.93 17.07
2 78.05 21.95 90.24 9.76
3 78.05 21.95 87.80 12.20
4 58.54 41.46 73.17 26.83

Last Updated 03/01/2002 insurance-research@fdic.gov