NYPD has jurisdiction throughout the city, no matter what borough they may be in. However, to prove a theft or grand larceny they have to prove that you have taken property of another with the intent to permanently deprive. At this point they only have a complaint they are investigating and as the money was sent to NY and this is where you are "holding" the money any "intent to permanently deprive" and thus larceny would be in NY, so they would have jurisdiction even on the international transfer because it would be in NY where the alleged larceny took place.
However, based on what you have described, you are merely an innocent recipient of an error at this point, which by law you are obligated to facilitate to correct and return the money. It is only the refusal to return the money that they could indeed use to form the "intent to permanently deprive" which could indeed make this a theft/larceny occurring in NY because that is where the money is, regardless that it was an international money transfer.
You do not have to speak to the officers and you have an absolute 5th Amendment Right to not speak to them and you have a right to an attorney as well. However, in this matter it really is not prudent to worry about fighting with the police over this, it is an administrative error by the bank and it is the bank you should be contacting to have them correct the error and simply notify the police if they call again that it was a bank error and the bank is fixing it and make no other statements.
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