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As a grammar hint, it is stated under the entry for "In case" within Longman Dictionary of Contemporary that we have to use simple present/past or should after in case, for example:

They locked themselves in their houses in case there was more trouble.

But do we have to use these tenses for all verbs in the clause which starts with in case? For example is the following statement correct grammatically?

You should back up your data in case there is a problem which will lead to a data loss.

Or should we write it as follows?

You should back up your data in case there is a problem which leads to a data loss.

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    Longman's definition applies to in case there is a problem. It makes no difference what tense you use for any further text modifying the noun problem there. It could be a problem that would have been insoluble a century ago, or a problem that no-one has ever seen before, or a problem that will not be resolved in my lifetime, for example. Oct 10 '20 at 17:39
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You should back up your data in case there is a problem which will lead to a data loss.

This is not correct. "In case" always refers to a hypothetical situation. The modal verb "will" indicates certainty. I would assume the above sentence was wrong, but taken at face value it could be assumed that the final clause refers back to the backing up of data and that the middle of the sentence is a parenthetical clause, for example:

You should back up your data (in case there is a problem) which will lead to a data loss.

This, of course, wouldn't make sense.

So you are correct - almost - with your re-write. It should be written as:

You should back up your data in case there is a problem that leads to a data loss.

'That' should be used for defining clauses. As you are defining a particular kind of problem, use 'that', not 'which'.

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