Bank institutions or government agencies will never call and ask for your personal information. If they are anonymous (or even pose to be valid institutions), you should still never give out anything. That's your simple answer. Just say no and hang up.
In government or corporations, we have digital certificate signing and encryption system that allows you to verify the sender. Even then, you should be cautious as you can still have phishing attempts by valid employees. Especially if their system have been compromised. Best way to protect yourself is to protect your information.
And even then... your information can still be stolen. Bank institutions and government servers have been hacked all the time. That's why cybersecurity is so important, and will only become more critical as technology (and adversaries) evolve.