McKinsey & Company Currently working as a Bank Examiner. 2 1/2 YoE and a Masters in Finance. Limited progression opportunities where I am and feeling bored/stuck.
Is it worth pursuing a BA role in McKinsey & Company that would pay almost same salary as my current role for the progression opportunities and exit opps?

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Yes if the work interests you. The day-1 salary for MBB, though high, isn’t what makes those jobs so attractive. The future earnings, responsibility, and exit opps are all part of the equation.

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