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Bank Loan Underwriting Practices: Can Examiners’ Risk Assessments Contribute to Early-Warning Systems?


Table 5.
Pearson's Partial Correlation Coefficients between Actual and Predicted CAMELS Ratings
(1996 - 2002)
  Actual Composite CAMELS Rating
Composite CAMELS PredictionCorrelation(p-value)
Specification 10.582 < 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 PredictionCorrelation(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 PredictionCorrelation(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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