I applied online (CV + cover letter) and got a reply 2 weeks later.
There was first a computer test of 45min, which I was able to schedule 2 weeks from then. I studied the practice test given by BCG (only 4 questions), another one that I found online, and the McKinsey PST tests, which have a similar type of questions. Unlike the McKinsey PST, in this test most questions depend on answers to previous questions, so it's crucial that you spend enough time on the initial questions and make sure to get them right. Also, getting questions wrong will make you lose points, so it is more important to check your calculations than on the McKinsey PST. The test seems quite impossible for 45min, but I only answered about half of the test and I passed, so my advice is to focus on getting questions right and NOT going through it as fast as possible (nor guessing).
After the test I was invited for the 1st round of interviews (2 interviews of 45min, back-to-back), that I scheduled for about 1 month later. In the meantime I read a lot about case interviews and did several mock interviews. The interviews were 15min of fit interview, 20-30min case, and then Q&A. The interviewers were incredibly nice and showed real interest in me (they had actually read my CV and cover letter before the interview).
Fit: Quite relaxed, they wanted you to explain your CV and motivation, not very specific questions.
Case: Interviewer led, and in a way that's quite easy to follow (the case had beginning, middle and end). First question is to structure the approach to the case. In the middle there are some computations, but not very difficult. In one of the interviews I was shown some plots and had to take conclusions from them. At the end you had to make a conclusion about the case (what would you tell the client if he came in). No market estimation questions.
I didn't pass the 1st round of interviews, but it was a really nice experience. The interviewers made me feel at home, and I could give my best. I also got really good feedback from the interviewer afterwards about why I didn't pass.