P.S. to OP: dont say that you want banking and consulting. It is either one - you are not a superman.
If you insist on fighting on both, you will likely get nothing at all.
1. yes, normally, only language or visa is an issue.
2. I guess it is still advantage to speak a nordic language for consultig role in Sweden, even it is not strictily required....?
and......I guess Italian will be even more required in Italy than in Swedish in Sweden......