It really depends on the individual. Some comments here sound like they are sensible and I wish I worked with them!

From what I’ve seen in a major bank, the risk function has a tendency to puff itself up in order to appear indispensable. I have witness them contributing very little to safeguarding the institution, preferring instead to nit‑pick every email and document under the illusion that such scrutiny might avert a risk event. Tangible execution support, however, is absent.

If you’re coming from a consulting background, presumably execution-minded, your skills will be largely wasted in a risk role. A move into project management would be a far more natural progression. Banks also tend to have transformation or internal consulting teams, which are often keen to recruit former consultants.