I would go for the simplist method, but it really depends what you want to do with it once you've built it..
anyway, build you banner exactly as it would exist in real life without the twisting.. i.e. as a long thin straight plane (with the little triangle cuts in each end).
then draw a curve you want to be it's "path".
Then use Animate > Motion Path > Attach to Motion Path to place the straight banner along the path.. it will still be rigid, and animating the scene will show the rigid banner moving down the path.
then use Animate > Motion Path > Flow Path Object which will make the object shape flow along the curvature of the path. You will have to play around with the lattice divisions in the options to make it flow smoothly (300+)
you can now play the animation to get the banner in the correct position and/or manipulate the curve CVs to modify the banner shape.
using this approach I knocked up your banner in 2 mins, but there are a few more ways you could do it if you wanted more control over the resulting banner shape...
:nathaN