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Table 5
CAMEL Prediction Accuracy and Error Analysis: Four Quarters before Downgrade
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