Figure out your values and what you want overall….then figure out which offer fits.
Also, don't “assume”. If you don't have offers, don't think about this yet (it's wasted effort and energy).
If you do have both offers, first, negotiate! Then, from there, if you want a career in Consulting, OW would be better. If you want a career in more of the financial space, Capital One would be better (only speaking on prestige/career progression)