We need to develop quite a powerful web application for an investment bank. The bank IT would like us to build it on top of the SharePoint platform
The answer is simple, you should go with what you know. If you prefer to do it in ASP.NET then, that is what you should go with. Trying to learn a new technology on that size of a project will almost certainty cause you severe problems when trying to develop it. Can sharepoint scale to that number of users, probably, but you don't know how to make it do that. That is the real key.
They are correct SharePoint does have a lot of functionality out of the box, but that doesn't mean that it will make you more efficient, because you don't know all of the APIs etc. to access.
Actually, if you want to know the way to cheat. If they force you into using it, you can run ASP.NET applications under SharePoint (well kind of). You can tell SharePoint to essentially ignore a path in the site and use regular ASP.NET as a web application just like any other site does. Really, this isn't using SharePoint, but it can get you out of a bind, in the "Needs to use SharePoint to make them happy scenario".
Mayo suggested contacting MS. I have a feeling they already have a relationship with the bank and have provided some insight about the project. I would contact: http://www.mindsharp.com/ and see if they can help you out. They are a training company, but I bet that the owners would be willing to help consult, and I haven't found anyone with more knowledge on SharePoint than Todd Bleeker.