VBA (Visual Basic for Applications) is a widely used programming language in the banking industry that allows users to automate tasks and processes in Microsoft Excel. VBA is embedded in Excel and can also be used in other Microsoft applications like Access and PowerPoint. It is used across all departments in banks, from front office trading to middle and back office functions, to automate daily tasks that would otherwise be time-consuming if done manually. Having skills in VBA can provide advantages for one's career in the banking industry as it allows candidates to automate processes and demonstrate problem-solving abilities that make them stand out among competitors.