A few things which I'd look for.
Good VBA, as in
Being able to use the object model, call sheet style functions, and I might ask if you know how to make the Solver work from VBA.
You ought to be aware that
Dim x,y as double
does not do what you think it does.
Also that VB integers are signed 16 bit and therefore do not always handle VB sheets which use an unsigned integer, so rows above 32767 can go bad.
You should be wise in the ways and limitations of the audit tool. The Solver is important to AMs, it shouldn't be, but is.
Last year I was forced to select Excel developers at a bank, and one set which did for most of them based upon AND, IF, etc.
Given
=AND(q(),q())
Function Q() As Boolean
Q = True
End Function
Two questions:
1: How many times does Q get called ?
2: Why ?
3: Why might I reasonably think Q gets called a different number of times ?
Another question is what do you do about an Add-In that keeps crashing Excel ?
First there is the process that you should know of proving that it is a particular addin.
Next, you should know about having two instances of Excel running, which means only one blows up at a time. DDE can be your friend here, as can the VBA "Shell" command.
Also a good skill is importing data.
A lot of data given to AMs is in CSV, tabbed, etc. Learn this, it's not hard though if you can write VBA to deal with "broken" data that's good.
Data import is god in general. Sucking simple info out of Access (not just import/export), is a good thing. A smattering of SQL always helps, even if they haven't mentioned it.
One tip for DDE, there is on "OnTime" event in VBA. most people who work in financial markets don't know about it. This can be used to "wake up" DDE sheets, or other feeds that stop for no good reason. If you have a lump of data that "appears" in a directory every do often, you can peek at it every so often.
A knowledge of different classes of financial instruments is good. Bonds vs equities, what "risk" actually means, coupons, dividends, and "corporate actions". This is mostly things like stock splits which have the strange effect that although the price of the stock should halve (or third), the sum of the two "parts", is higher.
Knowing the difference between an option and a future is useful.