It is certainly true that many bankers have arrogant tendencies. But no, you should never be arrogant in an interview. Confident yes, but arrogant no. You obviously want to give the impression that you’re smart, qualified, hard working, etc. And it’s okay to confidently and explicitly talk about those traits in an interview, as long as you can back them up and as long as you do it in a respectful but not arrogant manner (regardless of the demeanor of the interviewer).