In addition to my relatively weak grades, I attribute my failure to a lack of experiences, maturity, and confidence. The STAR interview method was big at the time (maybe it still is) and I had trouble with those. Possibly my peers were more prepared as they typically had relevant internship experience that they could draw on whereas I did not.
Some of the questions that I can remember struggling with: - Give an example of a time you had to change direction on a project due to budget constraints. - How do you handle ambiguity? - Give an example of a time you solved a problem using common sense.
Eventually I was able to improve my interview performance by compiling every question I could remember or find in books on interviewing, and practicing my responses in the mirror over and over again until the answers came out naturally. I believe my grades were still a limiting factor, however.
Several years later I was interviewing for an energy trading position in Baltimore. They setup a call with me for what I thought would be a fairly run of the mill phone screen. Instead, there were two hiring managers on the lines who proceeded to ask me a number of statistical/quant questions that I was unprepared for and had to stumble through while sitting in a park without so much as pen and paper to help me reason through them. At the end of the interview, I asked for their e-mails so I could follow up. After a short pause, they said no, that they would be in touch with me. Of course, I never heard from them. Months later, I bought a book on Wall Street interview questions/answers and the first 2 or 3 were the exact questions, word for word, that I had been asked.