I don't mind the coding challenges necessarily, but more how they're implemented. I find them to be far too broad relative to the day-to-day, and it only showcases how quickly someone can write unthoughtful code.
For example, it's not uncommon for a challenge in finance to be "build an exchange matching engine that takes orders, modifications and cancels from different threads in two hours." That's totally doable if you just fly through whatever comes to the top of your head, and maybe have an hour left over to test, debug and modify it. But that project (an exchange matching engine) is something that the CME has 10 full time programmers working all the time on. A more realistic 2 hour task is something like "look at edge cases for the order cancel type, and figure out a way to handle malformed inputs." Then you can actually write production quality code for them to judge.