Consulting for banks/hedge funds?

I was wondering if any of you here work in consulting in financial services industry? I was talking to a headhunter about possible career moves, and he suggested that path. I was never too impressed with consulting for regular corporations (don’t know why, maybe stereotype), but he suggested that consulting for banks and hedge funds can take various forms including quite a bit of quantitative and analytical work as well as interaction with senior management (obviously). My firm does consulting for big ibanks, but it’s mostly compliance and reporting or accounting projects. I would be more interested in market/credit risk type of work. Can anybody here share experiences if any? Type of projects? Pay? Future career development? Thanks for input.

What…all consultants are too busy working or don’t bother with CFA?

Most of the “consultants” I know in finance are actually in-house employees who have that in their job description. For instance, a risk management analyst might be called a “Risk Consultant”. In reality, financial firms like to keep their models and strategies proprietary. There might be some kinds of positions that I am not aware of. However, the lack of replies to this post implies that other people have not heard of these positions either.