My interview consisted of 4 stages. The first was an online application where you have to do the usual things like cover letter and CV and you are asked various competency questions.
The second stage was a 2h30 minute process which consisted of a short, in-formal interview and 3 tests. The informal interview was a simple interview to see what I knew about FactSet and the position I was applying for and questions on my CV. The tests included a numeracy, finance and excel related tests. We had 30 minutes per test which is PLENTY so don't be worried about that. In terms of difficulty I found all 3 tests fairly straight forward with nothing too difficult.
I was then invited to the Assessment Centre which is a day the recruitment staff use to determine your personality. The day consists of a group exercise, a brief demonstration on the FactSet software with a few tasks to do and a microteach (they explain exactly what this is when you get invited, you should just follow the guidelines and you will be fine). You also get to meet some consultants and get a presentation so you can learn a bit more about the role. Try and make notes of what you learn from this part of the day in case you make it to the next stage.
The final stage consists of an interview with two senior managers. This is not like any other final round interviews in the financial services industry. You will have to make sure you know two things: 1) What does a Graduate Consultant do? 2) Why do you think you will be a good Graduate Consultant? Provided you know the answers to these two questions, and you have a genuine interest in the financial services world, you should be prepared.