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Table 11
CAMEL Prediction Accuracy and Error Analysis: 1 Quarter after 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 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 insurance-research@fdic.gov