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FDIC Banking Review |
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| Table 5 CAMEL Prediction Accuracy and Error Analysis: Four Quarters before Downgrade |
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| Model Specification In-Sample Classification |
D--Pred (D) (Correct D) | D--Pred (ND) (Type 1 Error) | ND--Pred (ND) (Correct ND) | ND--Pred (D) (Type 2 Error) | ||||
|---|---|---|---|---|---|---|---|---|
| (%) | Number | (%) | Number | (%) | Number | (%) | Number | |
| A. CAMEL 3-Rated Group | ||||||||
| 1 | 72.62 | 61 | 27.38 | 23 | 90.73 | 137 | 9.27 | 14 |
| 2 | 53.57 | 45 | 46.43 | 39 | 89.40 | 135 | 10.60 | 16 |
| 3 | 72.62 | 61 | 27.38 | 23 | 91.39 | 138 | 8.61 | 13 |
| 4 | 71.43 | 60 | 28.57 | 24 | 90.73 | 137 | 9.27 | 14 |
| 5 | 73.81 | 62 | 26.19 | 22 | 91.39 | 138 | 8.61 | 13 |
| B. CAMEL 4/5-Rated Group | ||||||||
| 1 | 92.73 | 102 | 7.27 | 8 | 94.04 | 142 | 5.96 | 9 |
| 2 | 73.64 | 81 | 26.36 | 29 | 88.74 | 134 | 11.26 | 17 |
| 3 | 95.45 | 105 | 4.55 | 5 | 94.04 | 142 | 5.96 | 9 |
| 4 | 95.45 | 105 | 4.55 | 5 | 94.70 | 143 | 5.30 | 8 |
| 5 | 96.36 | 106 | 3.64 | 4 | 95.36 | 144 | 4.64 | 7 |
| Note: The critical value for classification of downgrades is 50 percent | ||||||||
| Last Updated 9/11/2003 | Questions, Suggestions & Requests |