Typical interview with multiple technical and HR rounds. They are testing candidates for their adaptability and not intelligence so dont be scared if you don't know a question they are checking your response so be calm.
I applied online. The process took 1 day. I interviewed at Citi (Jersey City, NJ) in Sep 2009
Interview
Had an interview with the head of the department and then a senior analyst at their hedge fund operational group. The head asked me the questions like "walk me through your resume", "why this job", "are you sure this is operational job not hedge fund job?". The senior consultant asked me about "walk me through your resume, what kind of analysis do you know, what kind of analysis have you done as a consultant".