Case studies are designed to test your ability to work through a task logically and effectively. The task you're given will often be similar to the work you would be carrying out at the firm if hired.
It's impossible to know exactly what you'll be set as a case study, but you can practice your technique for answering them. There are plenty of resources online where you can find examples of the sort of things you'll be asked.
The case study is very common in interviews for consulting firms, but are increasingly used in all sectors.
Read our top tips to successfully negotiating a case study at assessment centre.