I also interviewed at some bulge-brackets - hands down the most difficult interviews I ever had (for quant roles). They kept hammering on really complex math/stats/programming questions. Once you would get one "right", they would hit you with something more difficult. I have read that their premise was to see how you could handle pressure and questions you didn't know the answer to. In one follow up I was asked if I remembered a previous question and if I had looked it up.