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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

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