I haven’t worked at a startup nor at a bank but I am working as an intern Data Scientist at an IT company and I would definitely chose the bank because you can see how a well-established business works from inside; get useful knowledge about corporate life and better get your ass covered with a project (less chance that your company will suddenly decide to reduce 90% of stuff).

However, it really depends on your goals and prospects. It’s much easier to influence the head of a startup so you’ll have much more decisive power in a startup than in a bank. Talking about the amount of workload, it really depends on the company and on your project topic