Banks around the world have spent the past few years preparing for competition from small, nimble technology startups. It turns out the real threat may be Jeff Bezos.

Financial institutions have parried the threat from fintech firms by incorporating some of their innovations through partnerships and in-house coding teams, according to McKinsey & Co. In its annual banking report, McKinsey said that the industry needs to continue its digital makeover to protect the up to 40% of revenues at risk by 2025 and prepare for competition from so-called platform companies like Bezos's Amazon.com Inc.

"We thought that fintechs would provide the chief digital threat," authors of the report said. Instead, it's become clear that e-commerce companies such as Amazon and Alibaba Group Holding Ltd. "are reshaping one industry after another, blurring sector boundaries as they seek to be all things to all people."