LA school to NYC bank? How?

Hey, I go to school in LA and everyone who graduates stays in LA to work, even for BB banks. How do I get to NYC and how will the interview work? Where will my first and second interviews be and when do I pressure them to place me in NYC? is it 1st/2nd interview in LA and then I go straight to NYC or is 2nd round I get flown out to NYC or what? What about applying to both LA and NYC to be safe?

Analysts/associates at which bank will review my resume for first round (LA or NYC)? Any other tips?

Thanks