This case study focuses on the collapse of Collateralized Debt Obligations (CDO) markets in 2008. In the early 2000s, David X. Li published a paper on pricing CDOs and how to price pools of assets without considering their correlations. Li's approach was based on the Gaussian copula and the use of Credit Default Swap (CDS) prices to infer the correlation of assets. Despite the limitations associated with Li's pricing model, it was widely adopted by both banks and model users. These parties failed to assess the limitations of the model before fully adopting it. When signs of weaknesses in the model began to emerge in 2008, the correlation implied by the CDSs and the CDO prices increased dramatically. This led to the collapse of the CDO market, resulting in substantial losses for banks and model users.

Choice B is incorrect. Barclays' acquisition of Lehman Brothers and the excel spreadsheet error is not a case of failure to adequately assess a newly developed model. Instead, it was an operational error in the use of an Excel spreadsheet that led to significant losses for Barclays.

Choice C is incorrect. NASA's Mars Orbiter loss was due to a unit conversion error, not due to inadequate assessment of a financial risk management model. This case study does not fit into the context of financial risk management.

Choice D is incorrect. The Lehman Brothers scandal involved fraudulent activities and misrepresentation of financial statements rather than issues with inadequately assessed risk models. Therefore, this choice does not exemplify the situation described in the question.