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Table 5.
Pearson's Partial Correlation Coefficients between Actual and Predicted CAMELS Ratings
(1996 - 2002)
| |
Actual Composite CAMELS Rating |
| Composite CAMELS Prediction | Correlation | (p-value) |
| Specification 1 | 0.582 | < 0.0001 |
| Specification 2 | 0.648 | < 0.0001 |
| Specification 3 | 0.793 | < 0.0001 |
| Specification 4 | 0.793 | < 0.0001 |
| |
| | Actual Asset Quality Rating
| | Asset Quality Rating Prediction | Correlation | (p-value) |
| Specification 1 | 0.420 | < 0.0001 |
| Specification 2 | 0.534 | < 0.0001 |
| Specification 3 | 0.656 | < 0.0001 |
| Specification 4 | 0.663 | < 0.0001 |
| |
| | Actual Management Rating |
| Management Rating Prediction | Correlation | (p-value) |
| Specification 1 | 0.412 | < 0.0001 |
| Specification 2 | 0.543 | < 0.0001 |
| Specification 3 | 0.736 | < 0.0001 |
| Specification 4 | 0.739 | < 0.0001 |
There were 5,075 observations for each category of CAMELS rating prediction.
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