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It's definitely feasible and I guess the best way to get the sought after profile is to be involved in as many due diligence projects as possible. My personal impression is that consultants transition to PE slightly later than people from IBD but it also depends on the fund you'll go to and how they are structured. Bain Capital is for instance more known to hire junior consultants.
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Lots of European funds take consultants: Advent, Bain, BC, H&F, Lion etc.
KKR and Blackstone interview consultants regularly but I think it is hard to get through the process without some serious modelling skills.
1 priority is to be consistenly top ranked (top 10%) because that is a screening criteria for many of the above.You're going to start at McK in a few days right out of school, and you're already thinking about how you're going to exit? Slow down and take a deep breath man!
But yes it is feasible. Just go in and kick ass everyday.
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