Both are correct! :P
The words "in" and "at" are both prepositions of location. The meanings are slightly different, but they are both correct.
"I work in a bank," means that you work INSIDE the building of a bank. (You might not even for FOR the bank, perhaps you sell ice-cream at a bank).
"I work at a bank," is similar but it is more general. Technically it means you job is within the bank but it is used to say that you are employed by a bank.
"I work at a bank," is similar to, "I work for a bank."
Hope this helped.