Identifying systemically important banks: A transfer entropy approach

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dc.contributor.authorProkopová, Noémi
dc.contributor.authorZoričaková, Jana
dc.contributor.authorŠafár, Leoš
dc.contributor.authorMešťan, Michal
dc.date.accessioned2026-08-07T06:24:11Z
dc.date.available2026-08-07T06:24:11Z
dc.date.issued2026
dc.descriptionIn: 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.
dc.description.abstractIn 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.
dc.description.sponsorshipVEGA 1/0638/25 Zraniteľnosť finančného systému v kontexte rizika kybernetickej bezpečnosti
dc.identifier.doihttps://doi.org/10.24040/eas.2026.27.1.08
dc.identifier.issn2729-8213
dc.identifier.urihttps://repo.umb.sk/handle/123456789/1546
dc.language.isoen
dc.publisherBelianum. Vydavateľstvo Univerzity Mateja Bela v Banskej Bystrici
dc.rightsCC BY-NC Creative Commons Attribution-NonCommercial 4.0 International
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/
dc.subjectbankové sektory
dc.subjectbanking sectors
dc.subjectentropia
dc.titleIdentifying systemically important banks: A transfer entropy approach
dc.title.alternativeIdentifikácia systémovo významných bánk: Metóda transferovej entropie
dc.typeArticle
dc.typeinfo:eu-repo/semantics/article

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