Identifying systemically important banks: A transfer entropy approach
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Dátum
2026
Názov časopisu
ISSN časopisu
Názov zväzku
Vydavateľ
Belianum. Vydavateľstvo Univerzity Mateja Bela v Banskej Bystrici
ISBN
ISSN
2729-8213
Abstrakt
In recent years, the banking sector has been exposed to several negative shocks, leading to higher interconnectedness and increased systemic risk. The aim of this study is to examine the structure of the global banking sector and identify systemically important banking institutions in the context of risk transmission. Using daily stock price data from 77 global banks from November 2015 to December 2025, we apply the transfer entropy method to construct a TE-weighted network. The results confirm a high degree of interconnectedness within the banking sector. Banks such as BoCom, Goldman Sachs, Industrial Bank, KB Financial Group, and HDFC Bank are identified as the most systemically important banks. These banks primarily act as receivers of risk, which they may subsequently transmit to other parts of the system. In contrast, banks such as Deutsche Bank, PNC, and Hua Xia Bank represent key sources of risk transmission within the banking sector.
Popis
In: Ekonomika a spoločnosť = The journal of economics and social research : vedecký časopis Ekonomickej fakulty UMB v Banskej Bystrici. Banská Bystrica : Vydavateľstvo Univerzity Mateja Bela - Belianum, 2026. ISSN 2729-8213. Roč. 27, č. 1 (2026), s. 1-20.
Kľúčové slová
bankové sektory, banking sectors, entropia
Výstup z projektu
VEGA 1/0638/25 Zraniteľnosť finančného systému v kontexte rizika kybernetickej bezpečnosti
Citácia
Práva a licenčné podmienky
CC BY-NC Creative Commons Attribution-NonCommercial 4.0 International
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess