Act 4, Chapter 2: About 10 minutes in, after going down a large set of stairs. The banshee will appear, and Trishka will call it out for you. It will always appear from the same spot, and it's best to shoot as it is flying towards you, not from the side.
Restart Checkpoint if you miss/fail/die.
*Also, available through Echo mission "The Park".
See video below: