I'm not sure how to compare pay at consultancies vs banks.Although you can say "masters level people earn X% less" at a consultancy, my experience is that in this line of work on average E&Y, Accenture, and similar firms higher people are are less capable, less motivated, and generally less useful in ways that don't easily show up in stats.Money is one factor, but the desire to hire well spoken white men means that their banking consultants aren't the sharpest knives in the drawer.Obviously in their offshored operations, the race filter isn't used, since they are rarely put in front of candidates.If you're good at selling, then this can be a viable option, but as I think we all know, there's a negative correlation between quant skills and salesmanship.AlexandreB illustrates another, important data point. The big consultancy firms like to have 'stars', because this helps in sales. The idea is that a client gets to meet the big star, and if he's big enough will appear on Bloomberg TV occasionally, or maybe even main channel news. He will be well paid, and not worked very hard, partly because the drones you actually get on site are forbidden even to email the great man.Alekk asks "if consulting is such as it has been described here, why would clever people want to pay loads of money to get advice from consulting firms? There is an arbitrage somewhere !"Partly because banks have such poor institutional knowledge, and few if any mechanisms to spread it. They contain many specialists who may have no real peer anywhere in their firm, and there is an upper bound to the complexity of question you can get answered on Wilmott.com, or the board that serves your personal speciality. Often managers are trying to understand business units that their experience and education does not qualify them for, and have no objective way of telling whether things are working properly.Some consultancies, the likes of dfine, Ito33 et al have some smart people, but they can't easily get past the institutional desire of big banks to get in a big firm, even if they are strikingly incompetent and dishonest.