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Table 11
CAMEL Prediction Accuracy and Error Analysis: 1 Quarter after Downgrade
Equation Specification	D--Pred (D) (Correct D) (%)	D--Pred (ND) (Type 1 Error) (%)	ND--Pred (ND) (Correct ND) (%)	ND--Pred (D) (Type 2 Error) (%)
CAMEL 3- Rated Group
In-Sample Classification
1	74.51	25.49	75.00	25.00
2	74.51	25.49	82.50	17.50
3	72.55	27.45	77.50	22.50
4	70.59	29.41	65.00	35.00
Out-of-Sample Classification
1	58.82	41.18	50.00	50.00
2	52.94	47.06	71.43	28.57
3	64.71	35.29	64.29	35.71
4	82.35	17.65	35.71	64.29
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	68.42	31.58	85.71	14.29
2	81.58	18.42	87.14	12.86
3	81.58	18.42	87.14	12.86
4	81.58	18.42	77.14	22.86
Out-of-Sample Classification
1	66.67	33.33	70.83	29.17
2	83.33	16.67	75.00	25.00
3	75.00	25.00	70.83	29.17
4	66.67	33.33	62.50	37.50

Last Updated 03/01/2002

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