Can you please elaborate more about your requirements? Are you talking about messages coming into Pega for consumption or outbound messages from the Pega or both? What is your message provider? Do you have any specific requirement in terms of secure message, etc?
In general, Pega offers integration with virtually all JMS compliant message providers.
by web service, do you mean SOAP service? If that is the case, you can use Connect-SOAP from pega to call those web services. If you can elaborate the technical details of your core banking services, we may be able to suggest more concrete guidance.
So you are trying to implement SOAP over JMS if I am not mistaken. Pega does support that, most common setup would be running Websphere (which provides JMS adaptor to MQ seamlessly) with MQ as the backend message provider.