Accenture: strength is in the process- and system-side of Risk (e.g. implementing new system for a new compliance requirements). The culture is up or out, but they have good training programme & knowledge sharing programme, so it's easy to to get help or reference material when you need it. Most people grow up in the company so they tend to have similar approach to project (which can be a good thing or a bad thing, depending on the problem at hand). I heard that they're trying to move to the business advisory for risk and recruiting people with experience in modelling, actuarial etc.
PwC: the focus is more on "business" side of risk, e.g. risk modelling, operating model, regulatory requirements etc. The culture is more relaxed than Accenture, and definitely more family friendly, but can feel "clubby" as you need to know the right people to get on the right project, or to leverage on other people's knowledge/experience. Training and knowledge sharing are rather weak. PwC in general is trying to grow its consulting business and to get to the system side of consulting (i.e. where Accenture is!)
I don't know much about EY or KPMG - except that several years ago many of Accenture Risk people moved to EY (I don't know if they're still there though).