The interview Process is quite extensive.
There is pretty much 5 steps :
1- Phone Interview with HRs : expectation are stated (travel M-F, and not M-T), salary is discussed upfront to avoid wasting all this effort for both side
2- 2 or 3 Phone Interviews with consultants in your field. Professional discussions but not too formal either. very friendly and sharp people.
3- "Red Carpet" event : They invite you to one of their office for half day : 3 interviews back to back + a case study (role play). The level of the people met was really really good. The consultants in this company know what they are doing. The role play is difficult : You have a lot of data to reviews in a short amount of time and you have to present your summary/recommendations to 2 customers (played by 2 AlixPartners consultants). Of course, they challenge you quite a lot. I really thought I failed but apparently I did not. I guess what is important is to stay professional and not lose you focus.
4- Personality + IQ kind of test. Not so difficult.
5- Last discussion with a HR/Senior consultant (I believe this step is only there if you make it and you are about to receive an offer).
The whole process was long and pretty challenging. However, whoever I met (HRs or Consultants) were all very sharp (not always responsive though so be patient). They know what they are doing and if they feel like you are a good fit, they will make it happen.
There is no reason to stress out. If you are not the right candidate, you want to find out as much as they do. Once you are in, the pace is really fast and the project challenging. You DO want to through a good screening process.