Possibly a naive question, but why would you need a credit score for being hired, especially as an intern? I can (somewhat) see the need for privileged positions (i.e. CFO or similar).
I don't particularly think it counts as harassment. They can add any non-discriminatory stupid terms to the contract that they want.
And there are certainly lots of jobs in a bank where it makes sense to minimize insider risk (say, if you're the one approving peoples loans...).