from my McKinsey experience I can tell you that as an associate you are required to have some specific skills, both hard (eg., being able to read and interprete a financial statement, being able to build a sensitivity analysis, ...) and soft (being able to understand the client's need and being able to lead your workstream/the client end-to-end, from data collection to analysis and final presentation with top-down communication).
When considering the offered position as Data Analyst in bank, ask yourself:
1. Would I interprete data and analysis performances?
2. Would I deal with other colleagues/clients and would I manage/lead them?
3. Would I be fully owner of one specific stream/assignment that I need to manage end-to-end?
4. Would I need to present my analysis to the top management?
This kind of questions could help you understanding if that offered position would allow you to get the skills required as an associate at McKinsey.
Hope it helps! :)