I spoke to two people that asked me several questions about the inner-workings of banks and the risks they take. Browsing the website beforehand did help but not by much.

Got a phone interview screening first. Then had a two hour on-site interview. There are a lot of questions about my education background. We had a very detailed discussion on the materials covered in our courses. Question like Black Scholes model, MLE, and a lot of fixed income derivatives questions.