Artificial intelligence is starting to be widespread in the banking industry. Most likely, this trend will continue and will raise challenges ranging from legal and ethical to economic and social ones. By using a qualitative research approach, this paper aims at presenting an overview of some of the most quoted challenges of using artificial intelligence, split into four main categories: general; related to concentration and competition; related to the banking sector and related to the central bank. The identified challenges include, but are not limited to, the availability and quality of the data, effects on concentration and competition, difficulties with the implementation of the AI models, explainability, investment needs etc. Nevertheless, despite of the challenges identified and given the potential that AI has, its future in the banking sector looks promising.